Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach that optimizes some terminal … criterion that depends on the difference between the value of a derivative security and that of its hedging portfolio at … maturity or exercise. Global hedging methods in discrete time can be implemented using dynamic programming. They provide …

hedging strategies of a duopoly. Firms are exposed to demand uncertainty that leads to price risk and can hedge their risk …, we explore the Cournot duopoly with a simultaneous hedging opportunity; second, we analyze the case with a sequential …

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small …

-à-vis the euro has had on foreign exchange hedging costs. The analysis shows that in the analyzed period domestic investors may … have incurred substantial costs as a result of hedging exposure to the euro currency and may have been overexposed to …