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 …

cause dynamic hedging to fail. As an alternative, we investigate a quasi-static hedge of Parisian options under a more … contingent claims which are statically hedged. Through numerical experiments, we show the effectiveness of the suggested hedging …

existing hedging methods aimed at neutralizing the loss following the occurrence of a credit event. We provide evidence that … North American firms. Based on in-sample estimates, hedging with options reduces portfolio volatility by an additional 13 …% relative to hedging with equity. We show that option hedge ratios capture option-specific credit exposure related to the VIX …

moments and “greeks”. The lack of focus of practitioners on such probabilities invites the next crisis situation. • Hedging of …

effectiveness and the cost of the hedging strategy …