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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 …
Persistent link: https://www.econbiz.de/10011206320
GARCH option pricing models have the advantage of a well-established econometric foundation. However, multiple states need to be introduced as single state GARCH and even Levy processes are unable to explain the term structure of the moments of financial data. We show that the continuous time...
Persistent link: https://www.econbiz.de/10008542351