# Bartlett's delta in the SABR model

## TL;DR

This paper provides a theoretical justification for Bartlett's delta, demonstrating it offers a more accurate and robust hedging strategy for options under the SABR model compared to conventional methods.

## Contribution

It offers a theoretical foundation for Bartlett's delta, validating its improved performance in hedging within the SABR model.

## Key findings

- Bartlett's delta outperforms conventional SABR delta in hedging accuracy.
- Theoretical analysis supports empirical observations of Bartlett's delta robustness.
- Enhanced hedging stability with Bartlett's delta in the SABR framework.

## Abstract

We refine the analysis of hedging strategies for options under the SABR model carried out in [2]. In particular, we provide a theoretical justification of the empirical observation made in [2] that the modified delta ("Bartlett's delta") introduced there provides a more accurate and robust hedging strategy than the conventional SABR delta hedge.