Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect

Table 4

Comparison of the effectiveness results of in-sample hedging.

Methods			Std		Variance reduction over static MV method (%)
Unhedged	0		0.002988	0
MV	0.3524		0.001798	0.6397
Hedge portfolio A:
SDE-MV	0.3409		0.001795	0.6391	0.33%
FSDE-MV	0.3695		0.00174	0.6395	0.44%
Hedge portfolio B: (the best effectiveness)
SDE-MV	0.3409		0.001798	0.6403	0.66%
FSDE-MV	0.3695		0.001796	0.6411	0.88%
Hedge portfolio C:
SDE-MV	0.3409		0.001805	0.6363	0.44%
FSDE-MV	0.3695		0.001803	0.6371	0.66%