Augustyniak, Maciej; Badescu, Alexandru; Boudreault, Mathieu - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-18
Although the finance literature has devoted a lot of research into the development of advanced models for improving the pricing and hedging performance, there has been much less emphasis on approaches to measure dynamic hedging effectiveness. This article discusses a statistical framework based...
