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 …

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 …

The behavior of the implied volatility surface for European options was analyzed in details in [Zumbach and Fernandez …-product approximation for realistic prices can be used to analyze in depth European options on the SP500. The cross-product approximation is … comparison shows that the cost of hedging and the replication risk premium have contributions to the implied volatility smile …

In this short notice, we present structure of the perfect hedging. Closed form formulas clarify the fact that Black …

Closed-form pricing formulae and option Greeks are obtained for European-type options using an orthogonal polynomial … to price in/at/out-of-the-money options or options with complicated contingent claims …

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

yields and negative volatility risk premia. This study proposes a hedging strategy for volatility as an asset class that …) timely hedging strategy removes the extreme negative tail risk and reduces the negative skewness in exchange for slightly …

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 …

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 …