Delta hedging strategies comparison

Domenico De Giovanni; Sergio Ortobelli; Svetlozar Rachev

doi:10.1016/j.ejor.2006.08.019

Delta hedging strategies comparison

Domenico De Giovanni, Sergio Ortobelli, Svetlozar Rachev

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

10 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 language	English
Pages (from-to)	1615-1631
Number of pages	17
Journal	European Journal of Operational Research
Volume	185
Issue number	3
DOIs	https://doi.org/10.1016/j.ejor.2006.08.019
State	Published - Mar 16 2008

Keywords

Delta hedging
Incomplete markets
Option pricing
Stable motion
Subordinated models

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10.1016/j.ejor.2006.08.019

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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.",

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author = "{De Giovanni}, Domenico and Sergio Ortobelli and Svetlozar Rachev",

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AU - Rachev, Svetlozar

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KW - Delta hedging

KW - Incomplete markets

KW - Option pricing

KW - Stable motion

KW - Subordinated models

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