A Model-Free Approach to Delta Hedging

We utilize the existence of trends for financial time series (Fliess M., Join C.: A Mathematical Proof of the Existence of Trends in Financial Time Series, http://ssrn.com/abstract=1459662) in order to propose a model-free setting for delta hedging. It avoids most of the shortcomings encountered with the now classic Black-Scholes framework. Several convincing computer simulations are presented. Some of them are dealing with abrupt changes, i.e., jumps

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Year of publication:	2010
Authors:	Join, Cédric ; Fliess, Michel
Publisher:	[S.l.] : SSRN
Subject:	Hedging \| Theorie \| Theory \| Black-Scholes-Modell \| Black-Scholes model

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