Delta hedging and volatility-price elasticity: A two-step approach
将隐含波动率与标的资产价格之间的时变负相关关系纳入Delta对冲问题，提出一种两步法，利用波动率-价格弹性的均值回复特性改进对冲比率模型，在指数期权数据上表现优于仅依赖长期均值的方法。
We incorporate a time-varying negative relationship for implied volatility and underlying price into the delta hedging problem, where traders aim to minimize the variance of changes in the value of an option position by trading an appropriate amount of the underlying asset. We show that volatility-price elasticity is mean-reverting and embed predictions of the elasticity in a hedge ratio model that incorporates the negative volatility-price relationship. Our tests show that when applied to index options data, the proposed approach improves hedging performance over methods that rely solely on the long-run mean of the volatility-price relationship.