This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Static Hedging of Exotic Options

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Peter Carr (Equity Derivatives Research at Morgan Stanley,)
Katrina Ellis (Johnson Graduate School of Management, Cornell University,)
Vishal Gupta (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. Copyright The American Finance Association 1998.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.blackwell-synergy.com/servlet/useragent?func=synergy&synergyAction=showTOC&journalCode=jofi&volume=53&issue=3&year=1998&part=null
File Format: text/html
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by American Finance Association in its journal The Journal of Finance.

Volume (Year): 53 (1998)
Issue (Month): 3 (06)
Pages: 1165-1190
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:bla:jfinan:v:53:y:1998:i:3:p:1165-1190

Contact details of provider:
Web page: http://www.afajof.org/
More information through EDIRC

Order Information:
Web: http://www.afajof.org/membership/join.asp

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Jun Sekine, 2002. "On superhedging under delta constraints," Applied Mathematical Finance, Taylor and Francis Journals, vol. 9(2), pages 103-121, June. [Downloadable!] (restricted)
  2. Morten Nalholm & Rolf Poulsen, 2005. "Static Replication and Model Risk: Razor's Edge or Trader's Hedge?," FRU Working Papers 2005/02, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
  3. Rolf Poulsen, 2004. "Exotic Options: Proofs Without Formulas," FRU Working Papers 2004/10, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
  4. Akihiko Takahashi & Akira Yamazaki, 2008. "A New Scheme for Static Hedging of European Derivatives under Stochastic Volatility Models," CIRJE F-Series CIRJE-F-546, CIRJE, Faculty of Economics, University of Tokyo.
  5. B. Gao J. Huang, . "The Valuation of American Barrier Options Using the Decomposition Technique," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-002, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  6. Morten Nalholm, 2005. "Static Hedging of Barrier Options under General Asset Dynamics: Unification and Application," FRU Working Papers 2005/08, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
  7. Vicky Henderson & Rafal Wojakowski, 2001. "On the Equivalence of Floating and Fixed-Strike Asian Options," OFRC Working Papers Series 2001mf08, Oxford Financial Research Centre. [Downloadable!]
  8. Ernst Eberlein & Antonis Papapantoleon & Albert Shiryaev, 2008. "On the duality principle in option pricing: semimartingale setting," Finance and Stochastics, Springer, vol. 12(2), pages 265-292, April. [Downloadable!] (restricted)
  9. Antje Mahayni & Michael Suchanecki, 2005. "Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten," Bonn Econ Discussion Papers bgse8_2005, University of Bonn, Germany. [Downloadable!]
  10. Tomáš Tichý, 2006. "Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(7-8), pages 361-379, July. [Downloadable!]
  11. Akihiko Takahashi & Akira Yamazaki, 2008. "Efficient Static Replication of European Options under Exponential Levy Models," CIRJE F-Series CIRJE-F-539, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  12. Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, EconWPA. [Downloadable!]
  13. Marco Avellaneda, Robert Buff, 1999. "Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options," Applied Mathematical Finance, Taylor and Francis Journals, vol. 6(1), pages 1-18, March. [Downloadable!] (restricted)
  14. Akihiko Takahashi & Akira Yamazaki, 2008. "A New Scheme for Static Hedging of European Derivatives under Stochastic Volatility Models," CIRJE F-Series CIRJE-F-567, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  15. Bas Peeters & Cees L. Dert & André Lucas, 2003. "Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong," Tinbergen Institute Discussion Papers 03-090/2, Tinbergen Institute. [Downloadable!]
  16. Antoon Pelsser, 2002. "Pricing and Hedging Guaranteed Annuity Options via Static Option Replication," Tinbergen Institute Discussion Papers 02-037/2, Tinbergen Institute. [Downloadable!]
    Other versions:
  17. Akihiko Takahashi & Akira Yamazaki, 2007. "Efficient Static Replication of European Options for Exponential Levy Models," CIRJE F-Series CIRJE-F-513, CIRJE, Faculty of Economics, University of Tokyo.
  18. Dupont, Dominique Y., 2001. "Hedging Barrier Options: Current Methods and Alternatives," Economics Series 103, Institute for Advanced Studies. [Downloadable!]
  19. Sbuelz, A., 2000. "Hedging double barriers with singles," Discussion Paper 112, Tilburg University, Center for Economic Research. [Downloadable!]
Statistics
Access and download statistics

Did you know? Springer Verlag was the first commercial publisher to be listed on RePEc.

This page was last updated on 2008-8-1.


This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.