Poulsen, Rolf; Schenk-Hoppe, Klaus Reiner; Ewald, … - In: Quantitative Finance 9 (2009) 6, pp. 693-704
In this paper the performance of locally risk-minimizing delta hedge strategies for European options in stochastic volatility models is studied from an experimental as well as from an empirical perspective. These hedge strategies are derived for a large class of diffusion-type stochastic...