This paper formally incorporates parameter uncertainty and model error into the estimation of contingent claim models and the formulation of forecasts. This allows inference on functions of interest (option values, bias functions, hedge ratios) consistent with uncertainty in both parameters and...

There are two distinct components to a specialist's price schedule, prices and debths. This paper presents a model of a specialist's problem of choosing prices and debths jointly in order to maximize profits.

New York Stock Exchange specialists disseminate information to market participants by displaying price schedules consisting of quoted prices and depths for both the bid and the ask sides of the market. This paper examines how specialists revise these posted price schedules in response to changes...