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 language | English (US) |
---|---|
Pages (from-to) | 1165-1190 |
Number of pages | 26 |
Journal | Journal of Finance |
Volume | 53 |
Issue number | 3 |
DOIs | |
State | Published - Jun 1 1998 |
ASJC Scopus subject areas
- Accounting
- Finance
- Economics and Econometrics