Regime‐dependent smile‐adjusted delta hedging
提出了几种依赖于市场状态的微笑调整Delta，并用多年期权数据测试发现，即使最简单的状态依赖调整也比传统方法更有效，马尔可夫转换Delta表现最佳，对冲误差仅为隐含BSM的一半。
We introduce several regime‐dependent smile‐adjusted deltas and compare their efficiency with the smile‐adjusted deltas that are popular with option traders. Using years of daily option prices, out‐of‐sample hedging performance tests for options of all moneyness and maturities and daily, weekly, or fortnightly rebalancing show that even the simplest regime‐dependent smile‐adjustment consistently outperforms implied BSM delta hedging and local volatility and minimum variance smile‐adjustments. Markov‐switching deltas offer the best performance, with delta‐hedging errors often half the size of implied BSM hedging errors. During volatile markets risk reduction from regime‐dependent delta hedging is much greater than during tranquil periods.