Option Pricing Theory: Is 'Risk-Free' Hedging Feasible?
分析不平衡对冲的风险，发现对于文献中建议的较长再平衡间隔，期权对冲股票的风险可能超过未对冲股票本身的风险，质疑无风险对冲理论的适用性。
John E. Gilster, Jr., is an Associate Professor of Finance, Broad Graduate School of Management, Michigan State University. This paper separates the risk of an unbalanced hedge into the risk of the perfectly balanced hedge which would exist if the hedge were rebalanced, plus the risk of the unhedged stock position which remains because the hedge was not rebalanced. The resulting risks are so large that for some of the longer rebalancing intervals suggested in the literature, the risk of a stock hedged by an option can exceed the risk of the unhedged stock position by itself. Instability of this magnitude in a risk-free hedge calls into question the applicability of theories based on such a hedge.