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- W3122815995 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 Levy 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.
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- W3122815995 date "2008-11-21" @default.
- W3122815995 modified "2023-10-03" @default.
- W3122815995 title "Efficient Static Replication of European Options under Exponential Lévy Models" @default.
- W3122815995 hasPublicationYear "2008" @default.
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