Model risk adjusted hedge ratios
研究期权定价模型中参数变化带来的模型风险，并据此调整对冲比率，实证表明调整后对冲效果更好。适合关注金融衍生品定价与风险管理的读者。
Abstract Most option pricing models assume all parameters except volatility are fixed; yet they almost invariably change on re‐calibration. This article explains how to capture the model risk that arises when parameters that are assumed constant have calibrated values that change over time and how to use this model risk to adjust the price hedge ratios of the model. Empirical results demonstrate an improvement in hedging performance after the model risk adjustment. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1021–1049, 2009