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. … WebApr 8, 2008 · Optimal Static-Dynamic Hedges for Exotic Options under Convex Risk Measures. We study the problem of optimally hedging exotic derivatives positions using a …
Static Hedging of Standard Options - New York …
WebAug 18, 2024 · In this video from FRM Part 1 Curriculum, we take a look at how exotic options (specifically, barrier options) can be hedged using static replication. Exotics such as barrier options for... WebABSTRACT This paper develops static hedges for several exotic options using standard options. The method relies on a relationship between European puts and calls with differ- ent strike prices. The analysis allows for constant volatility or for volatility smiles or frowns. cleaning ltv
Static versus Dynamic Hedging of Exotic Options: An Evaluation of Hedge …
WebApr 8, 2008 · In this paper we will give a survey on results for semi-static hedging strategies for exotic options under different model assumptions and also in a model-independent framework. Semi-static hedging… PDF Optimal semi-static hedging in illiquid markets T. Pennanen, Udomsak Rakwongwan Economics 2024 WebMar 1, 2002 · The depth and breadth of the market for contingent claims, including exotic options, has expanded dramatically. Regulators have expressed concern regarding the risks of exotics to the financial system, due to the difficulty of hedging these instruments. Recent literature focuses on the difficulties in hedging exotic options, e.g., liquidity risk and other … http://faculty.baruch.cuny.edu/lwu/890/CarrWu2003_statichedge.pdf dowty construction franklin indiana