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Paper / 2025SMQ / 247036607558443
Empirical Analysis of the Model-Free Valuation Approach: Hedging Gaps, Conservatism, and Trading Opportunities
Julian Sester / Shanlan Que / Xiao Zhang / Yihan Qi / Zixing Chen
derivatives / option pricingResource overview

Empirical Analysis of the Model-Free Valuation Approach: Hedging Gaps, Conservatism, and Trading Opportunities

Paper2025

by Julian Sester, Shanlan Que, Xiao Zhang, Yihan Qi, Zixing Chen

Tags
derivativesoption pricingoptions hedging

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

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  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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