Finding 2471Emerging EvidenceValidation V0
The authors propose a simple delta-lagging adjustment, decoupling hedge ratio errors from stock returns, while employing extensive simulations with Black--Scholes, Leland, and Heston models to realistically capture market trading complexities.
78%Confidence
1Evidence objects
v1Version
DraftStatus
Evidence trail
Supporting78% linkage confidence
The authors propose a simple delta-lagging adjustment, decoupling hedge ratio errors from stock returns, while employing extensive simulations with Black--Scholes, Leland, and Heston models to realistically capture market trading complexities.
key_findings bullet 3 · key_findings
Inspect source: Asset Pricing Results in Option Markets: True, Spurious, or Overlooked? →This Finding was extracted from the configured corpus. It is versioned, traceable, and may evolve through editorial review or new corpus evidence.