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Bartlett's delta in the SABR model
Published 11 Apr 2017 in q-fin.CP, q-fin.PR, and q-fin.RM | (1704.03110v2)
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.
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