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 …

cause dynamic hedging to fail. As an alternative, we investigate a quasi-static hedge of Parisian options under a more … contingent claims which are statically hedged. Through numerical experiments, we show the effectiveness of the suggested hedging …

determine both the sub- and super-hedging prices of an American option in the model independent framework of ArXiv:1305.6008. We … obtain the duality of results for the sub- and super-hedging prices. For the sub-hedging prices we discuss whether the sup … super-hedging prices we discuss several alternative definitions and argue why our choice is more reasonable. Then assuming …