A model-free approach to delta hedging



2500
0


4000

3500

3000

50           100           150           200           250


-100
0


500

50           100           150           200           250


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

inria-00457222, version 1 - 16 Feb 2010


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?,

15th 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
, 15th 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/).



More intriguing information

1. The name is absent
2. Evaluation of the Development Potential of Russian Cities
3. Competition In or For the Field: Which is Better
4. EU Preferential Partners in Search of New Policy Strategies for Agriculture: The Case of Citrus Sector in Trinidad and Tobago
5. Meat Slaughter and Processing Plants’ Traceability Levels Evidence From Iowa
6. Pupils’ attitudes towards art teaching in primary school: an evaluation tool
7. Global Excess Liquidity and House Prices - A VAR Analysis for OECD Countries
8. Estimated Open Economy New Keynesian Phillips Curves for the G7
9. Healthy state, worried workers: North Carolina in the world economy
10. The name is absent
11. Who is missing from higher education?
12. The name is absent
13. Evidence of coevolution in multi-objective evolutionary algorithms
14. Three Strikes and You.re Out: Reply to Cooper and Willis
15. Computational Experiments with the Fuzzy Love and Romance
16. A Hybrid Neural Network and Virtual Reality System for Spatial Language Processing
17. Literary criticism as such can perhaps be called the art of rereading.
18. Towards a Strategy for Improving Agricultural Inputs Markets in Africa
19. ISSUES IN NONMARKET VALUATION AND POLICY APPLICATION: A RETROSPECTIVE GLANCE
20. Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme