Simple Robust Hedging with Nearby Contracts
提出一种基于合约特征近似匹配而非风险敏感性的对冲策略，用三个不同到期日和行权价的期权对冲目标期权，模拟和历史分析表明该策略在多种风险环境下优于动态Delta对冲。
This paper proposes a new hedging strategy based on approximate matching of contract characteristics instead of risk sensitivities. The strategy hedges an option with three options at different maturities and strikes by matching the option function expansion along maturity and strike rather than risk factors. Its hedging effectiveness varies with the maturity and strike distance between the target and the hedge options, but is robust to variations in the underlying risk dynamics. Simulation analysis under different risk environments and historical analysis on S&P 500 index options both show that a wide spectrum of strike-maturity combinations can outperform dynamic delta hedging.