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- W2023587748 abstract "The depth and breadth of the market for contingent claims, including exotic options, has expanded dramatically. Regulators have expressed concern regarding the risks of exotics to the financial system, due to the difficulty of hedging these instruments. Recent literature focuses on the difficulties in hedging exotic options, e.g., liquidity risk and other violations of the standard Black‐Scholes model. This article provides insight into hedging problems associated with exotic options: 1) hedging in discrete versus continuous time, 2) transaction costs, 3) stochastic volatility, and 4) non‐constant correlation. The author applies simulation analysis of these problems to a variety of exotics, including Asian options, barrier options, look‐back options, and quanto options." @default.
- W2023587748 created "2016-06-24" @default.
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- W2023587748 date "2002-03-01" @default.
- W2023587748 modified "2023-10-03" @default.
- W2023587748 title "Static versus Dynamic Hedging of Exotic Options: An Evaluation of Hedge Performance via Simulation" @default.
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- W2023587748 doi "https://doi.org/10.1108/eb043497" @default.
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