The paper examines the performance of various hedging strategies using Options in the Indian options market. The entire … spectrum of option hedging strategies are divided into two categories: 1) Strategies with limited losses and unlimited gains; 2 …

yields and negative volatility risk premia. This study proposes a hedging strategy for volatility as an asset class that …) timely hedging strategy removes the extreme negative tail risk and reduces the negative skewness in exchange for slightly …

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 …

of multi-factor model, we demonstrate how to calculate the optimal hedging ratio for VIX future to hedge VIX option. We … different hedge ratios for VIX options …

In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured … in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum … want to hedge the payoff of this option by investing into an electricity futures and into the issued option itself. Another …

-factor model, we demonstrate how to calculate the optimal hedging ratio for VIX future to hedge VIX option. We derived the … for VIX options. …

The term structure of VIX futures is generally upward sloping. The persistent VIX contango may result in abnormally … strong performance for VIX futures selling or VIX call writing strategies. However, the high volatility of volatility and … VIX futures and call option selling in a portfolio context in 2008 and 2016 as well as over a 10+ year period beginning in …

Ex-ante estimates of the volatility premium embedded in VIX futures, known as the VIX premium, fall or stay flat when …-post returns to VIX futures with a coefficient near one, and 2) Falling ex-ante premiums predict increasing ex-post market and … investment risk, creating profitable trading opportunities. Falling hedging demand helps explain this behavior, as premiums and …

volatility markets which jeopardizes any cross-hedging strategy. Consequently, an impairment of this intrinsic relationship may …