The change of underling asset is assumed to follow normal distribution in the Black-scholes option pricing model. However, The volatility of stock market is known as volatility skew. To adjust this at delta-hegding strategy, it assume the volatility is a function of underling asset price. In consequence of this assumption, it can be get an adjusted delta. The delta-hedging strategies is performed to compare a difference of every delta. In a results, ST model show the best performance. This characteristic is appeared for a specific period. To analyze the cause, it's compared features of distribution in every period. The period, which have consistent moments show better performance. However, the period, which have inconsistent moments show worse performance. This period can be interpreted as including outlier.
