use of a simple discrete approximation method, applicable to any probability density function. Methods/Approach: The … approximation is based on the well known renewal equation. Results: The usefulness is proved through some numerical results using …. Conclusions: The approximation proposed enables simple and fairly accurate calculation of the renewal function irrespective of the …

payoff. To this end, an approximation procedure is developed capable ofcalculating the optimal quantity of derivatives to be … of our approximation solution we examine its efficiency for twopractical hedging problems. In the first example we get … Optimierungsproblemen.Statt der unmittelbaren Approximation des unternehmerischen erwarteten Nutzenmaximums empfeh-len wir die Verwendung …

-to-maturity and moneyness for which the approximation is accurate. We further propose a simple calibration procedure of an arbitrary … parametric model to short-term near-the-money implied volatilities. An important advantage of our approximation is that it is …