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

Table 3

Monte Carlo local risk minimization hedging strategy of a European put option with Heston model.

	Hedging	Standard error	Monte Carlo price	Standard error
3		6.57 × 10^−4	10.417	5.00 × 10^−3
4		1.28 × 10^−3	10.422	3.35 × 10^−3
5		2.54 × 10^−3	10.409	2.75 × 10^−3