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Bartlett's delta in the SABR model

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  • Patrick S. Hagan
  • Andrew Lesniewski

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.

Suggested Citation

  • Patrick S. Hagan & Andrew Lesniewski, 2017. "Bartlett's delta in the SABR model," Papers 1704.03110, arXiv.org, revised May 2020.
  • Handle: RePEc:arx:papers:1704.03110
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    File URL: http://arxiv.org/pdf/1704.03110
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    Cited by:

    1. Bernhard Hientzsch, 2023. "Reinforcement Learning and Deep Stochastic Optimal Control for Final Quadratic Hedging," Papers 2401.08600, arXiv.org.

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