Market Volatility and Feedback Effects from Dynamic Hedging
分析了动态对冲策略产生的需求如何影响标的资产的均衡价格，推导出市场波动性在策略影响下的变化表达式，发现波动性增加且变得依赖时间和价格，其强度取决于对冲需求占比和对冲收益分布的异质性。
In this paper we analyze the manner in which the demand generated by dynamic hedging strategies affects the equilibrium price of the underlying asset. We derive an explicit expression for the transformation of market volatility under the impact of such strategies. It turns out that volatility increases and becomes time and price dependent. The strength of these effects however depends not only on the share of total demand that is due to hedging, but also significantly on the heterogeneity of the distribution of hedged payoffs. We finally discuss in what sense hedging strategies derived from the assumption of constant volatility may still be appropriate even though their implementation obviously violates this assumption.