Static Hedging of Exotic Options
- 1 June 1998
- journal article
- research article
- Published by Wiley in The Journal of Finance
- Vol. 53 (3) , 1165-1190
- https://doi.org/10.1111/0022-1082.00048
Abstract
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.Keywords
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