An Analysis of the Risk in Discretely Rebalanced Option Hedges and Delta-Based Techniques
指出离散再平衡期权对冲中，基于Delta的对冲并非方差最小化策略，并推导了方差最小化的对冲比率，通过参数分析显示偏离Delta对冲可显著降低对冲方差。
The stochastic properties of discretely rebalanced option hedges have been studied extensively beginning with Black and Scholes (1973). In each analysis hedges were “delta-neutral” after rebalancing. We argue that the distributional properties of discretely rebalanced hedges are such that delta-based hedging is not the variance minimizing strategy. This paper obtains analytical expressions for the variance minimizing option hedge ratios. We also evaluate the hedge variance to assess the magnitude of the variance reduction over delta-based hedges. For representative parameter values, we show that systematic departures from delta-based hedges can yield significant reductions in hedge variance even for one day rebalancing intervals.