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Hedging 1
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Alexander, Carol 1 Kaeck, Andreas 1
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Henley University ICMA Centre Discussion Paper in Finance 1
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Does Model Fit Matter for Hedging? Evidence from FTSE 100 Options
Alexander, Carol - 2010
This paper implements a variety of different calibration methods applied to the Heston model and examines their effect on the performance of standard and minimum-variance hedging of vanilla options on the FTSE 100 index. Simple adjustments to the Black-Scholes-Merton model are used as a...
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