consistently and significantly improve on implied BSM delta hedging, for options of all moneyness and maturities and whether … rebalancing is daily, weekly or fortnightly. For most options and over all hedging horizons the regime-dependent smile …Most research on option hedging has compared the performance of delta hedges derived from different stochastic …

demonstrate an improvement in hedging performance after the model risk adjustment …

We analyse robust dynamic delta hedging of bitcoin options using a set of smile-implied and other smile-adjusted deltas … dynamic delta hedging is based solely on equity index options, but analysis of our unique data set of hourly historical … options. We show that about 80\% of trading activity is on bitcoin options with expiry less than four weeks, and hence we only …