Research Article
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% |
|
|