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?:abstract
  • 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 volatility models, and they are as easy to implement as usual delta hedges. Our simulation results on model risk show that these risk-minimizing hedges are robust with respect to uncertainty and misconceptions about the underlying data generating process. The empirical study, which includes the U.S. sub-prime crisis period, documents that in equity markets risk-minimizing delta hedges consistently outperform usual delta hedges by approximately halving the standard deviation of the profit-and-loss ratio. (xsd:string)
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?:dateModified
  • 2009 (xsd:gyear)
?:datePublished
  • 2009 (xsd:gyear)
?:doi
  • 10.1080/14697680902852738 ()
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  • true (xsd:boolean)
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?:inLanguage
  • en (xsd:string)
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?:issueNumber
  • 6 (xsd:string)
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?:name
  • Risk minimization in stochastic volatility models: model risk and empirical performance (xsd:string)
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?:publicationType
  • Zeitschriftenartikel (xsd:string)
  • journal_article (en)
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  • GESIS-SSOAR (xsd:string)
  • In: Quantitative Finance, 9, 2009, 6, 693-704 (xsd:string)
rdf:type
?:url
?:urn
  • urn:nbn:de:0168-ssoar-221553 ()
?:volumeNumber
  • 9 (xsd:string)