Static Hedging of Exotic Options
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- 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.