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• W2013757515 abstract "In this article we compare the profit and loss arising from the delta-neutral dynamic hedging of options, using two possible values for the delta of the option. The first is the Black–Scholes implied delta, while the second is the local delta, namely the delta of the option in a generalized Black–Scholes model with a local volatility, recalibrated to the market smile every day. We explain why, in negatively skewed markets, the local delta should provide a better hedge than the implied delta during slow rallies or fast sell-offs, and a worse hedge, although to a smaller extent, during fast rallies or slow sell-offs. Since slow rallies and fast sell-offs are more likely to occur than fast rallies or slow sell-offs in negatively skewed markets (provided we have physical as well as implied negative skewness), we conclude that, on average, the local delta provides a better hedge than the implied delta in negatively skewed markets. We obtain the same conclusion in the case of positively skewed markets. We illus..." @default.
• W2013757515 created "2016-06-24" @default.
• W2013757515 creator A5081229081 @default.
• W2013757515 date "2004-10-01" @default.
• W2013757515 modified "2023-10-10" @default.
• W2013757515 title "Delta-hedging vega risk?" @default.
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• W2013757515 doi "https://doi.org/10.1080/14697680400008718" @default.
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