{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,13]],"date-time":"2026-10-13T12:05:47Z","timestamp":1791893147285,"version":"4.3.4"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>&lt;div&gt;\n The Black-Scholes model is the acknowledged benchmark for hedging derivatives because it is robust and has one free parameter that can be calibrated to market prices. While there are better models in terms of fitting market prices, many of these involve the tradeoffs of \u2018complex\u2019 models.\n&lt;\/div&gt;\n&lt;div&gt;\n A new Black-Scholes type structural model is introduced. It is a structurally and empirically better benchmark than Black-Scholes where it matters most (in the distress zone) and no worse than Black-Scholes where it matters the least (in the coincidence zone). It resolves the hedging issues created by the assumption that the linear instantaneous volatility, \u03c3St, goes to zero as the asset price St goes to zero. This linear feature creates hedging problems in that Black-Scholes cannot effectively hedge in the \u2018distress zone\u2019. Further, the exponential character of the log-normal model prevents it from actually reaching zero where it can be absorbed, precluding bankruptcy risk.\n&lt;\/div&gt;\n&lt;div&gt;\n This paper presents a new minimal structural fix to this problem. Since any asset can end up in the distress zone, it is important to address the issue that Black-Scholes hedge ratios are stable, zero, or wrong where they matter most.\n&lt;\/div&gt;\n&lt;div&gt;\n &lt;br&gt;\n&lt;\/div&gt;<\/jats:p>","DOI":"10.2139\/ssrn.7602364","type":"posted-content","created":{"date-parts":[[2026,10,13]],"date-time":"2026-10-13T11:44:05Z","timestamp":1791891845000},"source":"Crossref","is-referenced-by-count":0,"title":["The Transcendental Residual Volatility Model:A New Structural Hedging Benchmark"],"prefix":"10.2139","author":[{"given":"David H.","family":"Goldenberg","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,13]],"date-time":"2026-10-13T11:44:05Z","timestamp":1791891845000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7602364"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7602364","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}