We study the hedging problem for European-style options written on crude-oil futures. Locally risk-minimizing hedging … strategies are derived under the assumption that the dynamics of crude-oil futures are described by a Merton-type jump … performance test, we also investigate hedging strategies for robustness against model uncertainty and mis-specification, using …

The currency derivative market has evolved from its early days when it was confined to transacting in listed futures …

This paper gives an analysis of major derivative markets, their features, and expounds the dominance of the American … minimising investors' exposure to derivative trading positions brought to the fore. Finally, the paper ends by describing the …

In this paper we consider the problem of pricing and hedging European derivatives written on two underlying assets … volatility and implied correlation for spread options in order to analyze the available dependence models in terms of produced … Power Frank (PF) and Power Student t (PST) copulas. Second, we address the problem of hedging portfolios made of two …

cause dynamic hedging to fail. As an alternative, we investigate a quasi-static hedge of Parisian options under a more … contingent claims which are statically hedged. Through numerical experiments, we show the effectiveness of the suggested hedging …

strategy for managing rainfall risk. For this purpose, both put and call options are implemented. The pricing is carried out by …

Options are financial derivatives which are used as risk management tools for hedging the portfolios. The options … trade. Options trading can be taken to the next level with the help of understanding of Greeks and their Hedging techniques …. This knowledge will enhance the existing knowledge in context to the options hedging and will lead to the benefits in …