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

Table 4

Average hedging error with generalized Follmer-Schweizer decomposition: one-touch option with Heston model.

	Hedging strategies	AV	St. error	LL	UL	Price	(AV)
3	22	0.0422	0.0084	0.0258	0.0586	0.7399	5.70%
3	44	0.0382	0.0067	0.0250	0.0515	0.7397	5.17%
4	22	0.0210	0.0080	0.0053	0.0366	0.7733	2.71%
4	44	0.0198	0.0082	0.0036	0.0360	0.7737	2.56%