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Financial modeling is a rich research field that generated a large amount of approaches and techniques for dealing with financial phenomena. When it comes to practice, besides the implementation issues, the selection of a suitable path is also a difficult task. This book is an essay on modeling and testing option hedging strategies. It analyzes and compares three hedging strategies for European options, based on the BlackScholesMerton model, a dynamic programming solution for dynamic multiperiod hedging and a GARCH model. The strategies are compared under their theoretical premises and through comparative performance tests built over simulated data using a proposed simulation method for data generation. An analysis is also presented regarding estimation and its implications over the performance of the strategies. The essay should help those interested in understanding the grounds of different option hedging strategies and should also be inspiring for anyone who is about to make a decision for an implementation method of any financial phenomena.
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