explicit optimal portfolios or hedging strategies under realistic assumptions …

In this paper we derive the locally risk-minimizing hedging for a general contingent claim in an incomplete market via … hedge obtained via PDE approach. We see these hedging strategies, under weak conditions, are the same as the ones generated … by the PDE approach. Within the same model we establish the pricing and the locally risk-minimizing hedging formulas for …

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 product for the spot market, and the demand for this product is high when the market becomes risky: more risk averse …

for the price of the option and find that, contrary to Black-Scholes (1973) options theory, increasing the volatility of …

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