Static Hedging Of Exotic Options  

Oleh:

Carr, Peter ; Ellis, Katrina ; Gupta, Vishal

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 53 no. 3 (Jun. 1998), page 1131-1147.
Topik: Static Hedging; exotic options
Fulltext: p 1165.pdf (623.09KB)

Isi artikel

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.

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