these savings to the strength of the market trend. Moreover, we consider the problem of hedging efficient claims, derive …-varying payoff profile of efficient options, we further develop alternative delta hedging strategies for vanilla calls and puts. We …

In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options …. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We … derive the asymptotic hedging error for options under a generalised jump-diffusion model with kernel bias, which nests a …

of numerical methods for pricing, hedging, and risk management of financial instruments. …