Hedging being a predominant financial concern, is considered as a robust method of managing investment risks …. Literature evinces that the covered call strategy provides nominal returns alongside effective hedging. However, studies have not … compared the hedging effectiveness of covered call, covered put, collar, and synthetic long call strategies in the equity …

Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally … efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data … crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities …

order book, using machine learning tools. The applicability of such tools on the options market is currently missing. On an … intraday tick-level dataset of options on an exchange traded fund from the Chinese market, we apply a variety of machine …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …

of multi-factor model, we demonstrate how to calculate the optimal hedging ratio for VIX future to hedge VIX option. We … different hedge ratios for VIX options …

generalized static replication approach for hedging the in-arrears clean index principal swaps and annuity options …

shows the impact of jump risk on the hedging error of the option position, and the importance of including traded options in …In this paper we consider the problem of hedging an arithmetic Asian option with discrete monitoring in an exponential … to the hedging error and the impact of model error on the quality of the chosen hedging strategy. The numerical analysis …

are consistent with absence of arbitrage, given only the current prices of traded options on the same underlying. This …

This paper investigates the pricing/hedging conundrum, i.e. the observation of a mismatch between derivatives models …' pricing and hedging performances, that has so far been under-emphasized as the literature tends to focus on increasingly … complicated option pricing models, without adequately addressing hedging performance. Hence, we analyze the ability of the Black …

In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured … in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum … want to hedge the payoff of this option by investing into an electricity futures and into the issued option itself. Another …