frequent convert between cryptocurrency and fiat currency. However, research on fair pricing and hedging for the inverse BTC … option still needs to be completed. In this paper, we conduct dynamic hedging of the inverse BTC options under the Black …-Scholes model and the Heston stochastic volatility (SV) model. In addition, we provide novel formulae of Delta, Gamma, and Vega …

Gaussian weights. For the family of stochastic volatility models our pricing and hedging results are model-independent and can …In this paper the zero vanna implied volatility approximation for the price of freshly minted volatility swaps is … generalized to seasoned volatility swaps. We also derive how volatility swaps can be hedged using a strip of vanilla options with …

Numerous empirical proofs indicate the adequacy of the time discrete auto-regressive stochastic volatility models … introduced by Taylor in the dynamical description of the log-returns of financial assets. The pricing and hedging of contingent … corresponding market and the non-observability of the associated volatility process. In this paper we introduce new pricing kernels …