Guo, Hui (contributor); Neely, Christopher J. (contributor) - 2004 - [Elektronische Ressource]
"If there is no priced risk--including volatility risk--associated with hedging an option, then expected delta hedging … errors should be zero. This paper finds that delta hedging errors of a synthetic at-the-money call option on foreign exchange … hypothesis that delta hedging errors reflect rational pricing; foreign exchange volatility and stock market volatility predict …
