This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at … microstructure model for the bid-ask spread in options markets. We first construct a static equilibrium model to illustrate the …

, the dynamic hedging of diffusion movement outperforms static hedging which considers both diffusion and jump risks … together, and market makers should apply a dynamic hedging strategy most of the time. A testable implication of quoting … behavior, which assumes market makers apply dynamic hedging, is ratified in our empirical work. Additionally, our regression …

We study option pricing and hedging with uncertainty about a Black-Scholes reference model which is dynamically … option, delta-vega hedging is asymptotically optimal in the limit for small uncertainty aversion. The corresponding … the liquidly traded options …

We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset … for prices and hedging strategies in terms of the security's cash gamma …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …