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
DOIs
StatePublished - Jun 1 1998

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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    Carr, P., Ellis, K., & Gupta, V. (1998). Static hedging of exotic options. Journal of Finance, 53(3), 1165-1190. https://doi.org/10.1111/0022-1082.00048