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- W1563242432 abstract "This paper proposes a new scheme for the static replication of European options and their portfolios. First, we derive a general approximation formula for efficient static replication as an extension of Carr and Chou [1997, 2002] and Carr and Wu [2002]. Second, we present a concrete procedure for implementing our scheme by applying it to plain vanilla options under exponential L?evy models. Finally, numerical examples in a model developed by Carr, Geman, Madan and Yor[2002] are used to demonstrate that our replication scheme is more efficient and more effective in practice than a standard static replication method." @default.
- W1563242432 created "2016-06-24" @default.
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- W1563242432 date "2007-09-01" @default.
- W1563242432 modified "2023-09-27" @default.
- W1563242432 title "Efficient Static Replication of European Options for Exponential Levy Models (Revised in January 2008, Published in Journal of Futures Markets, Vol.29-1, 1-15, 2009. )" @default.
- W1563242432 hasPublicationYear "2007" @default.
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