# Bartlett's Delta revisited: Variance-optimal hedging in the lognormal SABR and in the rough Bergomi model

@inproceedings{KellerRessel2022BartlettsDR, title={Bartlett's Delta revisited: Variance-optimal hedging in the lognormal SABR and in the rough Bergomi model}, author={Martin Keller-Ressel}, year={2022} }

We derive analytic expressions for the variance-optimal hedging strategy and its mean-square hedging error in the lognormal SABR and in the rough Bergomi model. In the SABR model, we show that the variance-optimal hedging strategy coincides with the Delta adjustment of Bartlett [Wilmott magazine 4/6 (2006)]. We show both mathematically and in simulation that the eﬃciency of the variance-optimal strategy (in comparison to simple Delta hedging) depends strongly on the leverage parameter ρ and…

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