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  1. ; (, Annals of Finance)
    In this paper, we propose a delta-hedging strategy for a long memory stochastic volatil- ity model (LMSV). This is a model in which the volatility is driven by a fractional Ornstein–Uhlenbeck process with long-memory parameter H. We compute the so- called hedging bias, i.e. the difference between the Black–Scholes Delta and the LMSV Delta as a function of H, and we determine when a European-type option is over-hedged or under-hedged. 
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