Daglish, TobyNeely, Chris2015-02-112022-07-072015-02-112022-07-071/06/20082008https://ir.wgtn.ac.nz/handle/123456789/19108We present a closed form solution for the optimal hedging strategy in discrete time of an option whose underlying security follows the Heston Stochastic Volatility process. Our Monte Carlo simulations indicate that this significantly improves hedging performance at weekly and longer hedging intervals when compared to continuous time hedging procedures.pdfen-NZPermission to publish research outputs of the New Zealand Institute for the Study of Competition and Regulation has been granted to the Victoria University of Wellington Library. Refer to the permission letter in record: https://ir.wgtn.ac.nz/handle/123456789/18870Text