Journal of Finance Vol. 53 No. 3 1998
Static Hedging of Exotic Options
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.
- DOI
- https://doi-org.proxy.lib.uiowa.edu/10.1111/0022-1082.00048
- Volume
- 53
- Issue
- 3
- Pages
- 1165-1190
- Sources
- bibtex:phds-export.bib