Smile‐implied hedging with volatility risk
提出一种扩展微笑隐含期权复制的方法，加入波动率风险管理，实证表明在标普500指数期权上，微笑隐含的delta-gamma-vega对冲策略优于Black-Scholes及更复杂的模型。
Abstract Options can be dynamically replicated using model‐free Greeks extracted from the volatility smile. However, smile‐implied delta and delta–gamma hedging do not achieve minimum variance in the presence of price–volatility correlation, and these strategies have shown poor performance relative to the Black–Scholes (BS) benchmark. We propose a way to extend smile‐implied option replication with volatility risk management. Large‐scale evidence on S&P 500 index options indicates that smile‐implied delta–gamma–vega hedging strategies outperform the BS approach as well as more sophisticated option hedging frameworks, including stochastic volatility and jumps.