The paper [1] contains two mistakes. We are grateful to Man Kit Tsui for his questions and remarks, leading us identify them.

We theoretically model and empirically quantify the feedback effect of delta hedging for spot market volatility forex market. start from an economy with two types traders, aggregated option maker (OMM) taker (OMT), whose exposures reflect total outstanding positions all traders in A different hedge ratio OMM OMT leads to a net activity, which introduces friction. represent this friction by simp...

This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel stock and options data. We propose multivariate option pricing model designed to allow for, but not superimpose, time space amplification in markets. develop semi-parametric estimation procedure employing continuum moments conditions GMM with implied states. introduce par...

In this paper, we examine the capacity of an arbitrage-free neural-SDE market model to produce realistic scenarios for joint dynamics multiple European options on a single underlying. We subsequently demonstrate its use as risk simulation engine option portfolios. Through backtesting analysis, show that our models are more computationally efficient and accurate evaluating Value-at-Risk (VaR) po...