  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 rho and - in a weaker sense - also on the
roughness parameter H of the model, and give a precise quantification of this
dependency.
