stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black …-Scholes-Merton framework large portfolios of options can be hedged without risk in discrete time. The nature of the hedge portfolio in the … values of the options in our framework are driven by systematic and idiosyncratic risk factors. Instead of linearly (delta …

hedging product for the spot market, and the demand for this product is high when the market becomes risky: more risk averse …