The Systematic Risk of Discretely Rebalanced Option Hedges
证明布莱克-舒尔斯期权定价模型中的对冲头寸在连续再平衡时无风险，但离散再平衡时频繁出现显著系统性风险，可能使该模型的实证检验产生偏差，且与离散时间资本资产定价模型不一致。
This paper demonstrates that Black-Scholes option pricing model hedge positions that are risk free when rebalanced continuously will frequently exhibit substantial systematic risk when rebalanced at finite intervals. This systematic risk may have biased important empir? ical tests of the option pricing model. Moreover, this systematic risk means that the BlackScholes option pricing model is inherently inconsistent with the discrete time version of the Capital Asset Pricing Model (CAPM).