option hedging errors. We derive a closed-form solution for the option hedging error and its expectation in a stochastic jump … expected hedging error cannot identify the exact structure of the compensation for jump risk. Furthermore, we derive closed … form solutions for the expected option hedging error under discrete trading and model mis-specification. Compared to the …

This paper is devoted to the problem of hedging contingent claims in the framework of a complete two-factor jump … determine the unique hedging strategies which minimize a suitably defined shortfall risk under a given cost constraint. We … derive explicit formulas for this so-called efficient or quantile hedging strategy for a European call option. We then …

This paper presents a novel framework for pricing and hedging of the Guaranteed Minimum Benefits (GMBs) embedded in …-switching model. Semi-closed form solutions for prices of various GMBs are derived; pricing and hedging is performed using an accurate …, fast and efficient Fourier Space Time-stepping (FST) algorithm, which allows deriving the Greeks required for hedging …

This paper solves the mean-variance hedging problem in Heston's model with a stochastic opportunity set moving … derive formulas for the hedging strategy and the hedging error …

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black …) hedging the total risk of each option separately, the correct hedge portfolio in discrete time eliminates linear (delta) as … indefinitely. This ties the literature on option pricing and hedging closer together with the APT literature in its focus on …

It is well-known that Gaussian hedging strategies are robust in the sense that they always lead to a cost process of … hedging instruments from a given set of traded assets, in particular of zero coupon bonds, is studied. Misspecified hedging …