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Optimal Delta Hedging for Options

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papers.ssrn.com
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The “practitioner Black-Scholes delta” for hedging options is a delta calculated from the Black-Scholes-Merton model (or one of its extensions) with the volatil

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Jonathan @jonathanplk · Feb 6, 2023
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Great paper, showing how the Minimum-Variance Delta can be approximated in parametric form using the traditional BS-delta - and then estimated with historical data by a simple regression. A clever alternative to NNs for the data-driven hedging of options!
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