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Static Hedging Of Exotic Options

In: Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar

Author

Listed:
  • PETER CARR

    (Quantitative Equity, Department of Morgan Stanley, USA)

  • KATRINA ELLIS
  • VISHAL GUPTA

Abstract

This paper develops static hedges for several exotic options using standard options. The method used 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.

Suggested Citation

  • Peter Carr & Katrina Ellis & Vishal Gupta, 1999. "Static Hedging Of Exotic Options," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 5, pages 152-176, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812812599_0005
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    Cited by:

    1. Estelle Sterrett & Waylon Jepsen & Evan Kim, 2022. "Replicating Portfolios: Constructing Permissionless Derivatives," Papers 2205.09890, arXiv.org, revised Jun 2022.
    2. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022. "Hedging option books using neural-SDE market models," Papers 2205.15991, arXiv.org.

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