Static Hedging of Exotic Options
This paper develops static hedges for several exotic options using standard options. The method 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. Copyright The American Finance Association 1998.
Year of publication: |
1998
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Authors: | Carr, Peter ; Ellis, Katrina ; Gupta, Vishal |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 53.1998, 3, p. 1165-1190
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Publisher: |
American Finance Association - AFA |
Saved in:
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