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 |
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Pages (from-to) | 1615-1631 |
Number of pages | 17 |
Journal | European Journal of Operational Research |
Volume | 185 |
Issue number | 3 |
DOIs | |
State | Published - Mar 16 2008 |
Keywords
- Delta hedging
- Incomplete markets
- Option pricing
- Stable motion
- Subordinated models