Article thumbnail

On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model

By S.H.M. Ting and C.-O. Ewald

Abstract

This paper investigates the use of the asymptotic Heston solution in locally risk minimising hedging. The asymptotic Heston solution is presented along with issues that are relevant to its use. Comparison between the exact and asymptotic Heston hedges are made using both simulated and real historical data. The asymptotic Heston hedge is found to be a viable alternative to the exact hedge. It provides a means for faster calculation, while performing as well as the exact Heston hedge in the locally risk minimising framework

Publisher: 'Informa UK Limited'
Year: 2013
DOI identifier: 10.1080/14697688.2012.691987
OAI identifier: oai:eprints.gla.ac.uk:68830
Provided by: Enlighten
Sorry, our data provider has not provided any external links therefore we are unable to provide a link to the full text.

Suggested articles


To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.