Static Hedging of Exotic Options
利用标准期权构建了多种奇异期权的静态对冲策略，方法基于不同执行价欧式看跌与看涨期权的关系，适用于恒定波动率或波动率微笑/皱眉情形。
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.