The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims …

The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims …

precision parameter of the DP process is calibrated to the amount of trading activity in deep-out-of-the-money options. We use …

I develop a noisy rational expectations equilibrium model with a continuum of states and a full set of options that … have important implications for price discovery through options …

announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed … option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …

taking into account the relevance of pricing and hedging strategies for financial institutions …

exercising the options embedded in standard debt contracts. Extending substantially different loan terms or even rationing credit …

In this paper, we consider hedging and pricing of illiquid options on an untradable underlying asset, where an … trading illiquid options, since the price shifts together with the liquidity costs affect the hedging performance. We set the … alternative instrument is used as a hedging instrument. We assume that the trade price of the hedging instrument is subject to …