Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …

-balancing frequencies on target volatility portfolios. We focus on the pricing and hedging of the European option linked to target … volatility portfolios. In particular, we investigate the impact of stochastic equity asset volatility on the pricing and hedging … of the European option linked to target volatility portfolios. We also consider different dynamic hedging strategies and …

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 … volatility jump diffusion model …