@article{4d7703e0778e4628b8a6230c991646d8,
title = "Delta hedging strategies comparison",
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.",
keywords = "Delta hedging, Incomplete markets, Option pricing, Stable motion, Subordinated models",
author = "{De Giovanni}, Domenico and Sergio Ortobelli and Svetlozar Rachev",
note = "Funding Information: The authors thank for helpful comments seminar audiences at EWGFM 2004 (Paris) and at AMASES 2004 (Modena). S. Rachev{\textquoteright}s research was supported by grants from Division of Mathematical, Life and Physical Sciences, College of Letters and Science, University of California, Santa Barbara and the Deutschen Forschungsgemeinschaft. Ortobelli{\textquoteright}s research has been partially supported under Murst 40%, 60%, 2002, 2003, 2005, 2006 and CNR-MIUR-Legge 95/95. ",
year = "2008",
month = mar,
day = "16",
doi = "10.1016/j.ejor.2006.08.019",
language = "English",
volume = "185",
pages = "1615--1631",
journal = "European Journal of Operational Research",
issn = "0377-2217",
publisher = "Elsevier BV",
number = "3",
}