Bartlett's delta in the SABR model

Patrick S. Hagan and Andrew Lesniewski

Papers from arXiv.org

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.

Date: 2017-04, Revised 2020-05
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Citations: View citations in EconPapers (1)

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