In this paper we analyze in what way the demand generated by dynamic hedging strategies affects the equilibrium prices … hedging. It turns out that market volatility increases and becomes price-dependent. The strength of the effects depend not … discuss in what sense hedging strategies calculated under the assumption of constant volatility are still appropriate, even if …

start by briefly recalling the standard theory for pricing and hedging derivatives in complete frictionless markets and the …

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option … motion, which allows us to express hedging strategy and price of the Asian option as an analytic, that is closed form …

In this paper we empirically compare different term structure models when it comes to the pricing and hedging of caps … and swaptions.We analyze the influence of the number of factors on the pricing and hedging results, and investigate which … best pricing and hedging results. We use data on interest rates, and cap and swaption prices from 1995 to 1999.We find that …

We deal with the valuration and hedging of non path-dependent European options on one or several underlyings in a model … provide a unified and easily applicable approach to pricing and hedging Black-Scholes type options on stocks, bonds, forwards …. futures and exchange rates. We also cover the pricing and hedging of options to exchange two Black-Scholes type options for …

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black …) hedging the total risk of each option separately, the correct hedge portfolio in discrete time eliminates linear (delta) as … indefinitely. This ties the literature on option pricing and hedging closer together with the APT literature in its focus on …

In this short notice, we present structure of the perfect hedging. Closed form formulas clarify the fact that Black …