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Risk minimization in stochastic volatility models: model risk and empirical performance

机译:随机波动率模型中的风险最小化:模型风险和经验绩效

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摘要

In this paper the performance of locally risk-minimizing delta hedgestrategies for European options in stochastic volatility models is studied froman experimental as well as from an empirical perspective. These hedgestrategies are derived for a large class of diffusion-type stochasticvolatility models, and they are as easy to implement asusual delta hedges. Our simulation results on model risk show that theserisk-minimizing hedges are robust with respect to uncertainty andmisconceptions about the underlying data generating process. The empiricalstudy, which includes the U.S. sub-prime crisis period,documents that in equity markets risk-minimizing delta hedgesconsistently outperform usual delta hedges by approximately halvingthe standard deviation of the profit-and-loss ratio.
机译:本文从实验和实证角度研究了随机波动率模型中针对欧式期权的局部风险最小化Delta套期保值策略的表现。这些套期保值策略是针对一大类扩散类型的随机波动率模型得出的,它们易于实现通常的三角套期保值。我们对模型风险的仿真结果表明,这些风险最小化的对冲在对基础数据生成过程的不确定性和误解方面具有较强的鲁棒性。包括美国次贷危机时期在内的实证研究表明,在股票市场中,将风险最小化的三角套期保值通过将损益比率的标准偏差减半而始终优于常规的三角套期保值。

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