Without considering the underlying risk dynamics and jumps, Wu and Zhu (2016) recently proposed an ingenious approach of hedging options statically with an option portfolio. We improve their scheme in three ways. First, we theoretically make the Wu-Zhu approach more accurate by utilizing the...

Using all the data of options on the China 50 ETF, we study the pricing kernel monotonicity by adapting the recently proposed conditional density integration approach of Linn-Shive-Shumway (LSS). Methodologically, we improve LSS on several useful aspects and make its procedures applicable...