International Journal of Stochastic Analysis

Research Article

A Time-Series Approach to Non-Self-Financing Hedging in a Discrete-Time Incomplete Market

Table 3

Model evaluation results.
OptionAHRBSAHR
BAC+CJ − 0 . 1 3 7 0 . 3 5 4
BAC+CW 0 . 2 7 8 − 1 . 9 7 7
BAC+CX − 0 . 4 4 4 0 . 4 7 6
BAC+JV 0 . 1 7 7 0 . 5 5 7
CYQ+CE 0 . 2 8 2 0 . 3 0
CYQ+CX 0 . 2 8 1 0 . 0 1 6
CYQ+CY 0 . 1 8 6 0 . 4 3 8
GE+CG 0 . 1 0 2 0 . 2 0 2
GE+CY 0 . 1 7 0 0 . 1 8 0
GE+CZ 0 . 1 6 8 0 . 0 7 5
GE+JF 0 . 0 6 6 0 . 5 9 0
HNZ+CI 0 . 0 5 3 − 0 . 2 8 3
HNZ+CJ 0 . 1 4 4 − 0 . 0 2 4
INQ+JE − 0 . 0 7 3 − 0 . 5 1 3
INQ+CD 0 . 0 5 9 0 . 0 4 4
MER+CP 0 . 2 5 4 − 0 . 4 3 3
MS+CO − 0 . 0 9 7 0 . 1 8 5
MQF+JX 0 . 1 8 0 − 1 . 7 9 3
MSQ+CK − 0 . 1 0 1 0 . 1 3 2
MSQ+JE 0 . 1 2 3 0 . 2 1 8
WMT+CH 0 . 3 1 8 − 0 . 0 1 6
WMT+CJ − 0 . 1 6 6 0 . 3 1 5
WMT+JJ 0 . 2 8 6 0 . 4 3 4
XOM+CN 0 . 5 0 6 − 2 . 9 0
XOM+CO − 0 . 0 3 4 0 . 2 5 4
XOM+JI 0 . 0 0 4 0 . 2 3 4
XOM+JV 0 . 1 9 9 𝑛
AHR: Algorithmic Accumulated Hedge Residual.
BSAHR: Black-Scholes Accumulated Hedge Residual.