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Model independent hedging strategies for variance swaps
hedging strategies variance swaps Pricing of Securities
2011/7/25
Abstract: A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monito...
Applying hedging strategies to estimate model risk and provision calculation
model risk uncertainty of volatility risk measure
2011/3/23
This paper introduces a new model risk measure based on hedging strategies to estimate model risk and provision calculation under uncertainty of volatility. This measure allows comparing different pro...
On the Performance of Delta Hedging Strategies in Exponential Lévy Models
Laplace transform approach mean-variance hedging delta hedging Lévy processes model misspecification
2010/11/3
We consider the performance of non-optimal hedging strategies in exponential Lévy models. Given that both the payoff of the contingent claim and the hedging strategy admit suitable integral representa...
Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market
Hedging strategies minimal variance portfolios European Levy market
2010/12/13
This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, ...