Alexander, Carol; Rubinov, Alexander; Kalepky, Markus; … - Henley Business School, University of Reading - 2010
consistently and significantly improve on implied BSM delta hedging, for options of all moneyness and maturities and whether … rebalancing is daily, weekly or fortnightly. For most options and over all hedging horizons the regime-dependent smile …Most research on option hedging has compared the performance of delta hedges derived from different stochastic …