Iyer, Srikanth; Nanda, Seema; Kumar, Swapnil - In: Asia-Pacific Financial Markets 20 (2013) 3, pp. 243-259
We conduct an empirical comparison of hedging strategies for two different stochastic volatility models proposed in the literature. One is an asymptotic expansion approach and the other is the risk-minimizing approach applied to a Markov-switched geometric Brownian motion. We also compare these...