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

[14] Fliess M., Join C., Sira-Ramirez H., Non-linear estimation is
easy, Int. J. Model. Identif. Control, 4, 12-27, 2008 (available at
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[16] Haug E.G., Derivatives: Models on Models, Wiley, 2007.

[17] Haug E.G., Taieb N.N., Why we have never used the Black-Scholes-
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[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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