Delta hedging strategies comparison

Domenico De Giovanni, Sergio Ortobelli, Svetlozar Rachev

Research output: Contribution to journalArticlepeer-review

12 Scopus citations

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.

Original languageEnglish
Pages (from-to)1615-1631
Number of pages17
JournalEuropean Journal of Operational Research
Volume185
Issue number3
DOIs
StatePublished - Mar 16 2008

Keywords

  • Delta hedging
  • Incomplete markets
  • Option pricing
  • Stable motion
  • Subordinated models

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