With the innovation of derivatives, the Standard and Poor's (S&P) 500 index -- as an underlying asset of the volatility …. Since the financial crisis of 2008, the degree of market volatility has increased substantially. In addition, a random … different hedging strategies based on different diffusion models …

model and the expected level of the volatility swap. The simulated path space is also used to price and statically hedge … equity and volatility linked notes. The hedge is further enhanced by delta strategies extracted by an application of the SPSA … the desirability of zero cost hedging with a view to lowering the ask price required to make the unhedged risk acceptable …

parameter. Our numerical study indicates that the proposed methodology considerably improves both the pricing and the hedging …

bitcoin option prices reveals that the bitcoin implied volatility curve behaves very differently from that of equity index …We analyse robust dynamic delta hedging of bitcoin options using a set of smile-implied and other smile-adjusted deltas … volatility model, or they are based on simple regime-dependent parameterisations of local volatility. These deltas are popular …

moments and “greeks”. The lack of focus of practitioners on such probabilities invites the next crisis situation. • Hedging of …

Most option pricing models assume all parameters except volatility are fixed; yet they almost invariably change on re … demonstrate an improvement in hedging performance after the model risk adjustment …