| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 481670 | European Journal of Operational Research | 2008 | 17 Pages |
Abstract
In this paper we implement dynamic delta hedging strategies based on several option pricing models. We analyze different subordinated option pricing models and we examine delta hedging costs using ex-post daily prices of S&P 500. Furthermore, we compare the performance of each subordinated model with the Black–Scholes model.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Domenico De Giovanni, Sergio Ortobelli, Svetlozar Rachev,