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 …

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 …

options with an early-exercise feature — American, Bermudan and discretely monitored barrier options — under exponential Lévy … asset dynamics. This new method allows us to quickly and accurately compute the values of early-exercise options and their …-traded fund (ETF) on the S&P 500 R index options, which are American options traded from November 2017 to February 2018 …

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 …

formula holds for subordinated Brownian motion and, this representation is useful in developing simple and tractable hedging …

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

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 …