Static hedging of exotic options

Peter Carr, Katrina Ellis, Vishal Gupta

Research output: Contribution to journalArticle

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.

Original languageEnglish (US)
Pages (from-to)1165-1190
Number of pages26
JournalJournal of Finance
Volume53
Issue number3
StatePublished - Jun 1998

Fingerprint

Hedge
Static hedging
Exotic options
Volatility smile

ASJC Scopus subject areas

  • Accounting
  • Economics and Econometrics
  • Finance

Cite this

Carr, P., Ellis, K., & Gupta, V. (1998). Static hedging of exotic options. Journal of Finance, 53(3), 1165-1190.

Static hedging of exotic options. / Carr, Peter; Ellis, Katrina; Gupta, Vishal.

In: Journal of Finance, Vol. 53, No. 3, 06.1998, p. 1165-1190.

Research output: Contribution to journalArticle

Carr, P, Ellis, K & Gupta, V 1998, 'Static hedging of exotic options', Journal of Finance, vol. 53, no. 3, pp. 1165-1190.
Carr P, Ellis K, Gupta V. Static hedging of exotic options. Journal of Finance. 1998 Jun;53(3):1165-1190.
Carr, Peter ; Ellis, Katrina ; Gupta, Vishal. / Static hedging of exotic options. In: Journal of Finance. 1998 ; Vol. 53, No. 3. pp. 1165-1190.
@article{7d163272fb1f4ad6a633ad7f87da1dff,
title = "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.",
author = "Peter Carr and Katrina Ellis and Vishal Gupta",
year = "1998",
month = "6",
language = "English (US)",
volume = "53",
pages = "1165--1190",
journal = "Journal of Finance",
issn = "0022-1082",
publisher = "Wiley-Blackwell",
number = "3",

}

TY - JOUR

T1 - Static hedging of exotic options

AU - Carr, Peter

AU - Ellis, Katrina

AU - Gupta, Vishal

PY - 1998/6

Y1 - 1998/6

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=0005997636&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0005997636&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:0005997636

VL - 53

SP - 1165

EP - 1190

JO - Journal of Finance

JF - Journal of Finance

SN - 0022-1082

IS - 3

ER -