We propose optimal mean-variance dynamic hedging strategies in discrete time under a multivariate Gaussian regime … provide univariate pricing results for monthly S&P 500 vanilla options. Then, we present the associated out-of-sample hedging … Sharpe ratio derived from the strategy doubles over the classical Black-Scholes delta-hedging methodology …

In this paper we solve the discrete time mean-variance hedging problem when asset returns follow a multivariate … daily returns. Secondly, we present out-of-sample hedging results on S&P 500 vanilla options as well as a trading strategy … based on theoretical prices, which we compare to simpler models including the classical Black-Scholes delta-hedging approach …