STATIC HEDGING OF EXOTIC OPTIONS

Peter Carr, Katrina Ellis and Vishal Gupta

Chapter 5 in Quantitative Analysis in Financial Markets:Collected Papers of the New York University Mathematical Finance Seminar, 1999, pp 152-176 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis paper develops static hedges for several exotic options using standard options. The method used relies on a relationship between European puts and calls with different strike prices. The analysis allows for constant volatility or for volatility smiles or frowns.

Date: 1999
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