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Carr Static Heding Standard Options by Wang Yuan Hong is a document available to read on EtoBox.

This article presents a new static hedging strategy for standard options that operates effectively in both continuous and discontinuous price dynamics, outperforming dynamic delta hedging particularly in the presence of random price jumps. The authors derive a static spanning relation between a long-term option and a portfolio of shorter-term options, demonstrating that this approach can hedge a variety of options, including exotic ones, without the need for frequent rebalancing. Historical analysis of S&P

Author

Wang Yuan Hong

Language

EN