measured in terms of minimal variance and the associated optimal hedging portfolio is derived by a sufficient stochastic …

measured in terms of minimal variance and the associated optimal hedging portfolio is derived by a stochastic maximum principle …

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 …

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 …

We show that the option hedging risk of an optimal, continuously rebalanced hedging strategy in an exponential Lévy … additionally performed for some popular suboptimal hedging strategies, with the same conclusion …

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 …

A closed-form solution is obtained for the discrete-time global quadratic hedging problem of Schweizer (1995) applied …

usually proposed in the literature. We show the solution minimizes the mean-variance hedging error under the objective measure …. Solutions for the option value and the optimal hedging strategy are easily obtained from Monte Carlo simulations. Two …