Static Hedging of Exotic Options

  • Author(s): Peter Carr, Katrina Ellis, Vishal Gupta
  • Published: Dec 17, 2002
  • Pages: 1165-1190
  • DOI: 10.1111/0022-1082.00048

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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