562015-03-24 , 法政大学大学院理工学・工学研究科
Hedging errors of derivatives in an incomplete market are considered. We use the mean-variance hedging which is one of quadratic hedges and is driven from the least mean-square error of the hedging under the real world probability measure. In particular, we consider hedging errors of European put option under Heston stochastic volatility model. Through numerical experiments, we investigate relationships between parameters and hedging errors, and also the features of hedging errors in case of containing parameter estimation errors. In addition, we compare the mean-variance hedging to the delta hedging in their cases.