We focus on estimation of parameters used in dynamic hedging strategies and compare objective based inference and the maximum likelihood approach. When the financial model is misspecified the maximum likelihood estimation methodology may be misleading. Objective based estimators belong to the class of M-estimators, and are actually GMM estimators based on the tracking errors; their asymptotic properties can be stated and compared with PML estimators ones through Monte Carlo simulations. If the objective based estimator does correct some bias, its variance is larger.
