A model-free approach to delta hedging

(a) Underlying (—), trend (--), prediction of abrupt (b) Risk-free ∆ tracking (—) and ∆ tracking (- -),
change locations (l) and their directions (o)        prediction of abrupt change locations (l)

(c) Zoom on (b)                                (d) Zoom on (b)

Figure 4: Example 1 (continued): CFU9PY3500

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[16] Haug E.G., Derivatives: Models on Models, Wiley, 2007.

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Merton option pricing formula, Working paper (5^th version), 2009 (available
at http://ssrn.com/abstract=1012075).

[18] Huii J.C., Options, Futures, and Other Derivatives (7^th ed.), Prentice
Hall, 2007.

[19] Kirkpatrick C.D., Dahiquist J.R., Technical Analysis: The Complete
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tal View of Risk, Ruin, and Reward, Basic Books, 2004.

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