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Static Hedging of Exotic Options Author info | Abstract | Publisher info | Download info | Related research | Statistics Peter Carr (Equity Derivatives Research at Morgan Stanley,)
Katrina Ellis (Johnson Graduate School of Management, Cornell University,)
Vishal Gupta (Goldman Sachs)
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.
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Article provided by American Finance Association in its journal The Journal of Finance .
Volume (Year): 53 (1998)
Issue (Month): 3 (06)
Pages: 1165-1190
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Handle: RePEc:bla:jfinan:v:53:y:1998:i:3:p:1165-1190Contact details of provider: Web page: http://www.afajof.org/ More information through EDIRC
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