delta对冲策略_衍生品经典文献领读：Delta对冲收益和负波动率风险溢价

标题： Delta-hedged gains and the negative market volatility risk premium 作者： Gurdip Bakshi, Nikunj Kapadia

期刊：The Review of Financial Studies，2003, 16(2): 527-566.

Abstract

We investigate whether the volatility risk premium is negative by examining the statistical properties of delta-hedged option portfolios (buy the option and hedge with stock). Within a stochastic volatility framework, we demonstrate a correspondence between the sign and magnitude of the volatility risk premium and the mean delta-hedged portfolio returns. Using a sample of S&P 500 index options, we provide empirical tests that have the following general results. First, the delta-hedged strategy underperforms zero. Second, the documented underperformance is less for options away