options on S&P 500 futures expire than on other days. The effect is driven by the interplay of market makers' rebalancing of …-the-money options by individual investors. Consistent with limits to arbitrage, we find that the effect is asymmetric and stronger above … the strike price. In line with increased options activity, pinning becomes more pronounced in recent years. …

options on the S&P 500 futures expire (pinning) and are pushed away from the cost-of-carry adjusted at-the-money strike price … right before the expiration of options on the S&P 500 index (anti-cross-pinning). These effects are driven by the interplay … (and early exercise) of in-the-money options by individual investors. The associated shift in notional futures value is at …

This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models … including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays …

When options are traded, one can use their prices and price changes to draw inference about the set of risk factors and … option hedging errors. We derive a closed-form solution for the option hedging error and its expecta- tion in a stochastic …, the expected hedging error cannot identify the exact structure of the compensation for jump risk. Furthermore, we derive …

standard price hedge ratios for a wide class of contingent claims are model-free. Since options on traded assets are normally … has important implications for the hedging literature. However, standard price hedge ratios are not always the optimal … for scale-invariant models. Our theoretical results are supported by an empirical study that compares the hedging …

additionalstandard options. …

The vast majority of approaches to risk management, hedging, or portfolio planningassume that some model is given … much too complicated to solve in realisticmodel setups, we furthermore discuss robust hedging strategies determined …