Hedging being a predominant financial concern, is considered as a robust method of managing investment risks …. Literature evinces that the covered call strategy provides nominal returns alongside effective hedging. However, studies have not … compared the hedging effectiveness of covered call, covered put, collar, and synthetic long call strategies in the equity …

Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally … efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data … crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities …

reliably characterize any random variable (in our case derivative) with just its first moment. • This lack of attention to … moments and “greeks”. The lack of focus of practitioners on such probabilities invites the next crisis situation. • Hedging of … derivatives, as understood in the present literature, is very indirectly related to risk of capital loss; it simply takes account …

We investigate the optimal hedging strategy for a firm using options, where the role of production and basis risk are … basis risk showing that the former affects hedging effectiveness while the latter drives the choice of the optimal contract … portfolio is primarily affected by the amount of cash spent on the hedging. Also, we decompose the effect of production and …

program. Also, we decompose the effect of quantity and proxy risk showing that the latter greatly affects hedging …In this paper we investigate the optimal hedging strategy for a firm using option contracts, where both the role of … production (quantity) and basis (proxy) risk are considered. Contrary to the existing literature, we find that the exercise price …

particular on the use of European put options as a strategic hedging tool. Inspired by the work of Merton (1974), our approach …This study develops a novel method for mitigating credit risk through the use of structured derivatives, focusing in … reducing the necessary capital allocation for a projected loss X(T) by partially hedging with a European put option. We …