Ewald, Christian-Oliver; Nawar, Roy; Siu, Tak Kuen - In: Energy Economics 36 (2013) C, pp. 97-107
We consider the problem of hedging European options written on natural gas futures, in a market where prices of traded assets exhibit jumps, by trading in the underlying asset. We provide a general expression for the hedging strategy which minimizes the variance of the terminal hedging error, in...