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Hedging under model misspecification: All risk factors are equal, but some are more equal than others …

Author

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  • Nicole Branger
  • Eva Krautheim
  • Christian Schlag
  • Norman Seeger

Abstract

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Suggested Citation

  • Nicole Branger & Eva Krautheim & Christian Schlag & Norman Seeger, 2012. "Hedging under model misspecification: All risk factors are equal, but some are more equal than others …," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(5), pages 397-430, May.
    • Handle: RePEc:wly:jfutmk:v:32:y:2012:i:5:p:397-430
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    Citations

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    Cited by:

    1. Pascal François & Lars Stentoft, 2021. "Smile‐implied hedging with volatility risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1220-1240, August.
    2. Kaeck, Andreas & Seeger, Norman J., 2020. "VIX derivatives, hedging and vol-of-vol risk," European Journal of Operational Research, Elsevier, vol. 283(2), pages 767-782.
    3. Benjamin Cheng & Christina Sklibosios Nikitopoulos & Erik Schlögl, 2019. "Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 109-127, January.
    4. Leonidas S. Rompolis & Elias Tzavalis, 2017. "Pricing and hedging contingent claims using variance and higher order moment swaps," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 531-550, April.
    5. Matic, Jovanka & Packham, Natalie & Härdle, Wolfgang, 2021. "Hedging cryptocurrency options," IRTG 1792 Discussion Papers 2021-021, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    6. Valeriane Jokhadze & Wolfgang M. Schmidt, 2020. "Measuring Model Risk In Financial Risk Management And Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-37, April.
    7. Barletta, Andrea & Santucci de Magistris, Paolo & Sloth, David, 2019. "It only takes a few moments to hedge options," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 251-269.
    8. Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Härdle, 2023. "Hedging cryptocurrency options," Review of Derivatives Research, Springer, vol. 26(1), pages 91-133, April.
    9. Ioannis Kyriakou & Nikos K. Nomikos & Nikos C. Papapostolou & Panos K. Pouliasis, 2016. "Affine†Structure Models and the Pricing of Energy Commodity Derivatives," European Financial Management, European Financial Management Association, vol. 22(5), pages 853-881, November.
    10. Detering, Nils & Packham, Natalie, 2018. "Model risk of contingent claims," IRTG 1792 Discussion Papers 2018-036, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

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