A General Multidimensional Monte Carlo Approach for Dynamic Hedging under Stochastic Volatility

Table 2

Average hedging error of the one-touch option written on the CEV model.

	Hedging strategies	AV	St. error	LL	UL	Price	(AV)
3	11	0.0449	0.0073	0.0305	0.0592	0.4803	9.34%
3	16	0.0446	0.0063	0.0323	0.0569	0.4804	9.28%
3	22	0.0441	0.0056	0.0332	0.0550	0.4804	9.18%
3	44	0.0431	0.0044	0.0345	0.0516	0.4803	8.96%
4	11	0.0213	0.0071	0.0017	0.0295	0.5062	4.22%
4	16	0.0203	0.0064	0.0078	0.0327	0.5060	4.00%
4	22	0.0167	0.0053	0.0062	0.0271	0.5061	3.29%
4	44	0.0158	0.0038	0.0084	0.0232	0.5057	3.12%
5	11	0.0067	0.0072		0.0209	0.5205	1.30%
5	16	0.0056	0.0065		0.0073	0.5196	1.08%
5	22	0.0050	0.0055		0.0157	0.5187	0.97%
5	44	0.0044	0.0040		0.0122	0.5204	0.85%