WebJan 1, 2024 · Shi‐Jie Deng Georgia Institute of Technology Abstract and Figures We develop a general framework for statically hedging European-style op-tions with nonstandard … WebNov 1, 2009 · Static hedging and pricing of American options under the CEV model. In this section we show that our SHP approach also works well for the constant elasticity of …
Static versus Dynamic Hedging of Exotic Options: An Evaluation of Hedge …
WebMany exotic options have no analytic solutions, either because they are too complex or because the … Expand. Derivatives Hedging Errors and Volatility. This paper provides a general representation for the errors of delta-hedging derivatives contracts under mis-estimated volatility. Highly Influenced. View 5 excerpts, cites background ... http://faculty.baruch.cuny.edu/lwu/papers/CarrWuJFEC2012.pdf cycle leaderboards
Static Hedging of Exotic Options - New York University
http://web.math.ku.dk/~rolf/compactcarr.pdf WebIn this chapter, we give a survey of results for semi-static hedging strategies for exotic options under different model assumptions and also in a model-independent framework. … WebNov 1, 2009 · In comparison to dynamic hedge, static hedge is a new approach, developed by Bowie and Carr, 1994, Derman et al., 1995, Carr et al., 1998, etc., for hedging options (mainly the exotic options). The main idea of this approach is to create a static portfolio of standard European options whose values match the payoff of the option been hedged at ... cycle lawer in flora il