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Static Hedging of Standard Options · Study

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PreprintStatic Hedging of Standard Options

Peter Carr2004

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Preprintgreen2004

Static Hedging of Standard Options

Peter Carr · Liuren Wu

49 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1976Option pricing when underlying stock returns are discontinuous 1987The Pricing of Options on Assets with Stochastic Volatilities 1976The valuation of options for alternative stochastic processes 1997Empirical Performance of Alternative Option Pricing Models 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1978Prices of State-Contingent Claims Implicit in Option Prices

Cited by

2005Volatility options: Hedging effectiveness, pricing, and model error 2012Semi-Static Hedging for GMWB in Variable Annuities 2009Dynamic Hedging Under Jump Diffusion with Transaction Costs 2004The pricing of dual-expiry exotics 2007Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments 2005

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2013Static Hedging of Standard Optionsarticle · 27 shared references 2010The Econometrics of Option Pricingchapter · 20 shared references 2018Risk-Neutral Densities: A Reviewreview · 19 shared references 2014An Empirical Analysis of the Ross Recovery Theorempreprint · 18 shared references 2005Market Price of Variance Risk and Performance of Hedge Fundspreprint · 16 shared references 2009Stochastic Volatilityother · 16 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations49

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.585451

openalex_workW2123098522

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