Alexander, Carol; Rubinov, Alexander; Kalepky, Markus; … - Henley Business School, University of Reading - 2010
Most research on option hedging has compared the performance of delta hedges derived from different stochastic … their hedging performance clearly demonstrate that even the simplest of the regime-dependent smile adjustments will … consistently and significantly improve on implied BSM delta hedging, for options of all moneyness and maturities and whether …