Bartlett's delta in the SABR model
Computational Finance
2020-05-06 v2 Pricing of Securities
Risk Management
Abstract
We refine the analysis of hedging strategies for options under the SABR model carried out in [2]. In particular, we provide a theoretical justification of the empirical observation made in [2] that the modified delta ("Bartlett's delta") introduced there provides a more accurate and robust hedging strategy than the conventional SABR delta hedge.
Cite
@article{arxiv.1704.03110,
title = {Bartlett's delta in the SABR model},
author = {Patrick S. Hagan and Andrew Lesniewski},
journal= {arXiv preprint arXiv:1704.03110},
year = {2020}
}
Comments
10 pages