Alexander, Carol; Rubinov, Alexander; Kalepky, Markus; … - Henley Business School, University of Reading - 2010
Most research on option hedging has compared the performance of delta hedges derived from different stochastic volatility models with Black-Scholes-Merton (BSM) deltas, and in particular with the `implied BSM’ model in which an option’s delta is based on its own market implied volatility....
