Static hedging and pricing of exotic options with payoff frames
提出了一个静态对冲和定价欧式奇异期权的通用框架，可应用于方差互换和障碍期权等路径依赖期权，通过分离对冲和定价问题得到复制策略，适用于同时定价期权组合，并对收益不连续性具有稳健性。
Abstract We develop a general framework for statically hedging and pricing European‐style options with nonstandard terminal payoffs, which can be applied to mixed static–dynamic and semistatic hedges for many path‐dependent exotic options including variance swaps and barrier options. The goal is achieved by separating the hedging and pricing problems to obtain replicating strategies. Once prices have been obtained for a set of basis payoffs, the pricing and hedging of financial securities with arbitrary payoff functions is accomplished by computing a set of “hedge coefficients” for that security. This method is particularly well suited for pricing baskets of options simultaneously, and is robust to discontinuities of payoffs. In addition, the method enables a systematic comparison of the value of a payoff (or portfolio) across a set of competing model specifications with implications for security design.