Static hedging of exotic options
成果类型：
Article
署名作者：
Carr, P; Ellis, K; Gupta, V
署名单位：
Cornell University
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.1111/0022-1082.00048
发表日期：
1998
页码：
1165-1190
关键词：
摘要：
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.