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

Table 5

Average hedging error in the mean variance hedging methodology for one-touch option with Heston model.

	Hedging strategies	AV	St. error	LL	UL	Price	(AV)
3	22	0.0674	0.0052	0.0572	0.0777	0.7339	9.19%
3	44	0.0577	0.0044	0.0490	0.0663	0.7340	7.86%
4	22	0.0143	0.0056	0.0034	0.0252	0.7767	1.84%
4	44	0.0134	0.0038	0.0060	0.0209	0.7765	1.73%