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 …

hedging errors. In the empirical application, we synthesize the prices of the variance contract on S&P 500 index over the …

By means of a difference-in-differences approach (sigma-DID), we investigate the effect that hedging has on corporate … risk. Examining the relation between hedging and the idiosyncratic variance of stock returns, we show that when new …

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

discovery, hedging ability and trading strategy. The VIX ETPs track their benchmark indices well. They are therefore exposed to … ETPs perform poorly as a hedging tool; their inclusion in a portfolio based on S&P 500 will decrease the risk …