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Delta hedging strategies comparison
European Journal of Operational Research, 2008zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Domenico De Giovanni +2 more
exaly +5 more sources
Finanzmarkt Und Portfolio Management, 2004
This paper shows that the delta hedging performance of the Black-Scholes model can be substantially improved with a rather simple adjustment of the Black-Scholes delta. By utilizing the volatility smile, the Black-Scholes delta can be adjusted to account for the inverse movements between volatility and stock prices.
Sami Vähämaa
exaly +2 more sources
This paper shows that the delta hedging performance of the Black-Scholes model can be substantially improved with a rather simple adjustment of the Black-Scholes delta. By utilizing the volatility smile, the Black-Scholes delta can be adjusted to account for the inverse movements between volatility and stock prices.
Sami Vähämaa
exaly +2 more sources
On Suboptimality of Delta Hedging for Asian Options
SIAM Journal on Financial Mathematics, 2015Summary: In the paper we use Asian options in the Black-Scholes framework to demonstrate that discrete-time hedging based on the standard delta is significantly less efficient than some of the optimal hedging strategies when the hedging interval decreases to zero.
Adam W Kolkiewicz
exaly +4 more sources
Asia Pacific Business Review, 2010
Options are used by hedgers to reduce risk. A better way implemented by the companies these days is to use the delta value of options to create a portfolio having minimum risk. This portfolio has a delta value of zero. Due to the market changes the delta value changes and thus the portfolio needs to be balanced regularly. In this study, it was observed
Satyendra Kumar Sharma +3 more
openaire +1 more source
Options are used by hedgers to reduce risk. A better way implemented by the companies these days is to use the delta value of options to create a portfolio having minimum risk. This portfolio has a delta value of zero. Due to the market changes the delta value changes and thus the portfolio needs to be balanced regularly. In this study, it was observed
Satyendra Kumar Sharma +3 more
openaire +1 more source
Assessing reinforcement delta hedging
SSRN Electronic Journal, 2021Usual option pricing is based on replication assuming complete markets. Complete markets means that simple hedging strategies, like delta hedging, work exactly but real markets are not complete. This has motivated research on reinforcement learning to develop pricing for incomplete markets that are highly complex to deal with otherwise.
Hirbod Assa, Chris Kenyon, Haodong Zhang
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A genetic programming approach for delta hedging
2015 IEEE Congress on Evolutionary Computation (CEC), 2015Effective hedging of derivative securities is of paramount importance to derivatives investors and to market makers. The standard approach used to hedge derivative instruments is delta hedging. In a Black-Scholes setting, a continuously rebalanced delta hedged portfolio will result in a perfect hedge with no associated hedging error.
Zheng Yin +3 more
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Delta-hedging correlation risk?
Review of Derivatives Research, 2011While the Gaussian copula model is commonly used as a static quotation device for CDO tranches, its use for hedging is questionable. In particular, the spread delta computed from the Gaussian copula model assumes constant base correlations, whereas we show that the correlations are dynamic and correlated to the index spread.
Areski Cousin +2 more
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Delta-hedging in fractional volatility models
Annals of Finance, 2022zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Qi Zhao, Alexandra Chronopoulou
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Charm-Adjusted Delta and Delta Gamma Hedging
The Journal of Derivatives, 2012Hedging an option is easy in the basic Black-Scholes world. The only stochastic variable is the stock price, and by holding a short position in the stock equal to minus the partial derivative of the call price with respect to the stock, a momentarily riskless hedge of a call option is achieved.
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Cross and Delta-Hedges: Regression versus Price-Based Hedge Ratios
SSRN Electronic Journal, 1999In implementing a variance-minimizing cross or delta hedge, the regression coefficient is often estimated using data from the past, but one could also use estimators that are suggested by the random-walk or unbiased-expectations models and require just a single price.
Piet Sercu, Xueping Wu
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