This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … strategies with a wide family of risk measures and pricing rules, and study the conditions under which the hedging problem admits …

investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …

announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed … option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …

announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed … option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …

investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …

order book, using machine learning tools. The applicability of such tools on the options market is currently missing. On an … intraday tick-level dataset of options on an exchange traded fund from the Chinese market, we apply a variety of machine …

hedging long-dated futures and options with their short-dated counterparts, we find that the long-term tracking errors are, on …Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned … with the ability to hedge long-dated linear and non-linear oil liabilities with short-dated futures and options. This paper …

This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … strategies with a wide family of risk measures and pricing rules, and study the conditions under which the hedging problem admits …

-à-vis the euro has had on foreign exchange hedging costs. The analysis shows that in the analyzed period domestic investors may … have incurred substantial costs as a result of hedging exposure to the euro currency and may have been overexposed to …