Delta hedging strategies comparison

DOI10.1016/j.ejor.2006.08.019zbMath1142.91514OpenAlexW2158301291MaRDI QIDQ2464246

Svetlozar T. Rachev, Sergio Ortobelli, Domenico De Giovanni

Publication date: 10 December 2007

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2006.08.019

zbMATH Keywords

option pricingincomplete marketsdelta hedgingstable motionsubordinated models

Mathematics Subject Classification ID

Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Option pricing and portfolio hedging under the mixed hedging strategy ⋮ Risk preference, option pricing and portfolio hedging with proportional transaction costs ⋮ Optimal hedging when the underlying asset follows a regime-switching Markov process ⋮ Option pricing under residual risk and imperfect hedging

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