Before revision:  in particular,  the sensitivity of the hedging strategies with respect to several pricing measures is tested for a special class of non-Gaussian GARCH models for European style options with different moneyness and maturities .
After revision:  in particular, P 500 European Call options is provided to assess the empirical performance of the proposed schemes. We also test the sensitivity of the hedging strategies with respect to several pricing measures is tested for a special class of non-Gaussian GARCH models for European style options with different moneyness and maturities .