) method. Detailed here are (1) the option hedging strategy and its costs; (2) irreducible hedging errors associated with … realistically fat-tailed & asymmetric return distributions; (3) impact of transaction costs on hedging costs and hedge …-performance; (4) impact of conditioning hedging strategy on realized volatility. The asset returns are addressed by the General Auto …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …

In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured … in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum …

minimal variance hedging portfolio in the underlying weather market. In the second part of the paper, we provide a … formula for the associated information premium and investigate minimal variance hedging of precipitation derivatives under …

many companies and financial investors, as they constitute useful hedging instruments against disadvantageous weather … CAT, CDD, and HDD futures. We finally deduce the minimal variance hedging portfolio in a specific temperature futures …

This paper addresses minimum-variance hedging of European contingent claims (ECC) in the case where changes to the … hedging portfolio can be made only at discrete, pre-decided times. A simple derivation of the minimum-variance hedging … modified in a certain manner. In the case of specific claims, the minimum-variance hedging strategy can be further expressed in …