A Portfolio Approach to Risk Reduction in Discretely Rebalanced Option Hedges
分析离散再平衡期权对冲产生的累积对冲误差，发现简单推广先前研究会低估误差方差，且即使每日再平衡，误差也会给Black-Scholes模型建议的套利策略带来显著风险。通过将不同期权组合成投资组合，可大幅降低对冲误差导致的套利风险。
This paper analyses the accumulated hedging errors generated by discretely rebalanced option hedges. We show that simple generalizations of the prior research can underestimate the variance of the accumulated hedging errors and that even with daily rebalancing, these accumulated hedging errors can introduce substantial risk in arbitrage strategies suggested by the Black-Scholes option pricing model. We also show that the correlation between the accumulated hedging errors for different options can be quite high, so that the risk of arbitrage due to hedging errors can be substantially reduced by optimally combining options into portfolios. The results also suggest that tests of market pricing of traded options which are based on employing a portfolio approach are likely to be much better specified than the standard tests that focus on individual options.