Journal of Finance Vol. 53 No. 3 1998

Static Hedging of Exotic Options

Peter Carr¹; Katrina R. Ellis²; Vishal K. Gupta³

¹ Equity Derivatives Research at Morgan Stanley · ² Johnson Graduate School of Management, Cornell University · ³ Goldman Sachs

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

10.1111/0022-1082.00048

Volume

53

Issue

3

Pages

1165-1190

Language

en

Sources

crossref openalex

Cite

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