Classic option pricing theory values a derivative contract via dynamic delta hedging and treating the contract as redundant relative to the underlying security. Dynamic delta hedging proves highly effective in practice, but the remaining risk is still large because of the practical limits of arbitrage. Derivatives can play primary roles in risk allocation. This paper quantifies the percentage variance reduction of delta hedging on U.S. stock options, proposes a top-down return attribution framework to identify the remaining risk sources of the delta-hedged option investment, and constructs a statistical return factor model to explain the variations of the delta-hedged option returns.

中文翻译：

---

衍生证券的套利和主要风险承担的限制

经典期权定价理论通过动态 delta 对冲对衍生合约进行估值，并将合约视为相对于基础证券的冗余。动态 delta 对冲在实践中被证明是非常有效的，但由于套利的实际限制，剩余的风险仍然很大。衍生品可以在风险分配中发挥主要作用。本文量化了美国股票期权 delta 对冲的百分比方差减少，提出了一个自上而下的回报归因框架来识别 delta 对冲期权投资的剩余风险来源，并构建了一个统计回报因子模型来解释 delta 对冲期权投资的变化。 Delta 对冲期权收益。