This paper is the first to study the hedging of price risk with uncertain payment dates, a frequent problem in practice …. It derives a variance-minimizing hedging strategy for two settings, the first employing linear contracts with different …

pricing and hedging formulae for put and call options are derived in terms of the Black–Scholes formula. Due to market … European claim. This allows pricing and hedging under the minimal martingale measure, corresponding to the local risk … an approximate hedging formula, which does not require knowledge of these parameters. The hedging strategies are tested …

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 …