In this paper, we argue that, once the costs of maintaining the hedging portfolio are properly taken into account, semi …, different from Carr-Madan representation, and suggest approximations of the idealized static hedging/replicating portfolio using … vanillas available in the market. We study the dependence of the hedging error on a model used for pricing and show that the …

established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging … ratios using dynamic multivariate GARCH to best identify hedging opportunities in a newly developed futures market. The … ability for firms to hedge and regulators to supervise the ethanol futures market is crucial to both hedging potential losses …

We analyze hedging strategies that minimize tail risk measured by Value-at-Risk (VaR) or Conditional …-Value-at-Risk (CVaR). In particular, we derive first-order conditions characterizing VaR- and CVaR-minimal hedging with futures in regime …-switching models. Using cross-hedging examples, we theoretically and empirically demonstrate that tail-risk-minimal strategies can …