A model-free approach to delta hedging

4000

3500

3000

50           100           150           200           250

500

50           100           150           200           250

(a) Underlying asset: values during the last 223 (b) Option: values during the last 223 days, and

days, and trend (- -)

(c) Daily interest rate r

Figure 3: Example 2: CFU9CY3500

trend (- -) (- -)

(d) ∆ tracking

El Jai, L. Afifi, E. Zerrik (Eds), Presses Universitaires de Perpignan, 2009,
pp. 43-62 (available at http://hal.inria.fr/inria-00352834/en/).

[10] Fliess M., Join C., Model-free control and intelligent PID con-
trollers:    towards a possible trivialization of nonlinear control?,

15^th IFAC Symp. System Identif., Saint-Malo, 2009 (available at
http://hal.inria.fr/inria-00372325/en/).

[11] Fliess M., Join C., Towards new technical indicators for trading systems
and risk management, 15^th IFAC Symp. System Identif., Saint-Malo, 2009
(available at http://hal.inria.fr/inria-00370168/en/).

[12] Fliess M., Join C., Systematic risk analysis: first steps to-
wards a new definition of beta, COGIS, Paris, 2009 (available at
http://hal.inria.fr/inria-00425077/en/).

[13] Fliess M., Join C., Mboup M., Algebraic change-point detection, Ap-
plicable Algebra Engin. Communic. Comput., DOI 10.1007/s00200-010-
0119-z, 2010 (available at http://hal.inria.fr/inria-00439226/en/).

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