{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,14]],"date-time":"2026-10-14T12:50:07Z","timestamp":1791982207744,"version":"4.4.0"},"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:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This paper investigates the pricing of derivative instruments designed to hedge tail risk stemming from regulatory and environmental, social, and governance (ESG) shocks in Johannesburg Stock Exchange (JSE)-listed mining equities. Employing a jump-diffusion stochastic volatility framework, we evaluate how mining conglomerates such as Anglo American Platinum can insulate cash flows against abrupt price shocks induced by environmental non-compliance or policy shifts. Our empirical findings demonstrate that option-based hedging structures provide robust downside protection while preserving participation in upward commodity price trajectories, effectively mitigating tail risks that traditional linear derivatives fail to manage. Furthermore, we demonstrate that incorporating ESG metrics into option pricing models significantly enhances risk management outcomes, offering a strategic advantage for firms operating in environmentally sensitive industries.<\/jats:p>","DOI":"10.2139\/ssrn.7608299","type":"posted-content","created":{"date-parts":[[2026,10,14]],"date-time":"2026-10-14T12:09:38Z","timestamp":1791979778000},"source":"Crossref","is-referenced-by-count":0,"title":["Quantifying Tail Risk: Option-Based Hedging of Regulatory and Environmental Shocks in JSE-Listed Mining Firms"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0007-8475-2558","authenticated-orcid":true,"given":"Henry","family":"Mayambu","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,14]],"date-time":"2026-10-14T12:09:38Z","timestamp":1791979778000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7608299"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7608299","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}