How should price models be chosen for real option valuation and how should real option cash flows be hedged in the presence of model error? We consider a specific type of model error in the context of the natural gas storage real option: The assumed number of factors in a multifactor futures price model differs from the true number of factors. In terms of valuation, model error does not seem to...

In this paper, we consider the hedging of portfolio loss derivatives using single-name credit default swaps as hedging instruments. The hedging issue is investigated in a general pure jump dynamic setting where default times are assumed to admit a joint density. In a first step, we compute default intensities adapted to the global filtration of defaults. In particular, we stress the impact of a...

If the price of an asset follows a jump diffusion process, the market is in general incomplete. In this case, hedging a contingent claim written on the asset is not a trivial matter, and other instruments besides the underlying must be used to hedge in order to provide adequate protection against jump risk. We devise a dynamic hedging strategy that uses a hedge portfolio consisting of the under...

Bet-hedging theory addresses how individuals should optimize fitness in varying and unpredictable environments by sacrificing mean fitness to decrease variation in fitness. So far, three main bet-hedging strategies have been described: conservative bet-hedging (play it safe), diversified bet-hedging (don’t put all eggs in one basket) and adaptive coin flipping (choose a strategy at random from ...

The paper updates on the notion «hedging». While analyzing, we have not encountered any research its peculiarities in courtroom discourse. So, it is possible to affirm that this study relevant. With mind, aim of explore characteristics hedging results our survey confirmed discourse hedges perform role strengthening arguments, persuasive function; function building rapport with jury; credibility...

A quantum board game is a multi-round protocol between a single quantum player against the quantum board. Molina and Watrous [MW12] discovered quantum hedging. They gave an example for perfect quantum hedging: a board game with winning probability < 1, such that the player can win with certainty at least 1-out-of-2 quantum board games played in parallel. Here we show that perfect quantum hedgin...

Merchants operations involves valuing and hedging the cash flows of commodity and energy conversion assets as real options based on stochastic models that inevitably embed model error. In this paper we quantify how empirically calibrated model errors about the futures price term structure affect the valuation and hedging of commodity storage assets, specifically the storage of natural gas, an i...

We investigate daily robust hedging performance with trading costs for markets of S&P 500 Index option (SPX) and Taiwan Index option (TXO). Robust hedging refers to minimal model dependence on the risky asset price. Two hedging categories including " model-free " and " volatility-model-free, " and nonparametric methods for volatility estimation are considered in our empirical study. In particul...

We compared egg size phenotypes and tested several predictions from the optimal egg size (OES) and bet-hedging theories in two North American desert-dwelling sister tortoise taxa, Gopherus agassizii and G. morafkai, that inhabit different climate spaces: relatively unpredictable and more predictable climate spaces, respectively. Observed patterns in both species differed from the predictions of...

Bet-hedging theory addresses how individuals should optimize fitness in varying and unpredictable environments by sacrificing mean fitness to decrease variation in fitness. So far, three main bet-hedging strategies have been described: conservative bet-hedging (play it safe), diversified bet-hedging (don't put all eggs in one basket) and adaptive coin flipping (choose a strategy at random from ...