. Moreover, we compute the model hedge ratios for put and call options and investigate the historical hedging performances of the … credit derivatives pricing, but have not been used for pricing/hedging options on equity indexes … options data on four US stock indexes; the Amex Biotechnology Index, the Morgan Stanley Technology index, the Securities …

This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … proposed theoretical approach are illustrated with an application on hedging economic risk …

We study a notion of good-deal hedging, that corresponds to good-deal valuation and is described by a uniform … supermartingale property for the tracking errors of hedging strategies. For generalized good-deal constraints, defined in terms of … market prices of risk of hedging assets, a robust approach leads to a reduction or even elimination of a speculative …

In this note, I study further the approach introduced in for the hedging of derivatives in incomplete markets via local …

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 …

This paper studies the pricing, timing and hedging of an American call option written on a non-tradable asset whose …

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 …

This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … proposed theoretical approach are illustrated with an application on hedging economic risk …