1. Over time, Heston delta-vega hedging yields very similar hedging errors to delta-? 1 hedging. We observe that MV-based delta-? 1 hedging becomes worse than sensitivity-based hedging after the outbreak of the COVID-19 pandemic in the 2019-2021 testing data. A similar phenomenon is observed after the 2008 financial crisis was triggered. In the daily rebalancing case, MV-based delta-? 1 hedging is consistently the best over time. Nevertheless, in the weekly rebalancing case, sensitivity-based delta-? 1 overtakes its MV-based counterpart after;SDE market models produce obviously better performing hedging strategies than Black-Scholes model, in both daily and weekly rebalancing cases,2008
2. Does model fit matter for hedging? Evidence from FTSE 100 options;C Alexander;Journal of Futures Markets,2012
3. Model-free hedge ratios and scale-invariant models;C Alexander;Journal of Banking & Finance,2007
4. Empirical performance of alternative option pricing models;G Bakshi;The Journal of Finance,1997