-arbitrage conditions are also instrument-specific and have been specified for some simple classes of options. However, the problem is …

Black-Scholes model in the presence of a market skew and this explains the poor delta hedging performance of these models … volatility framework allows one to extend a good pricing model into a good hedging model. The theoretical results are supported … by an empirical analysis of the hedging performance of seven models, each with different volatility characteristics, on …