Static and semistatic hedging as contrarian or conformist bets
Static and semistatic hedging as contrarian or conformist bets
Abstract In this paper, we argue that, once the costs of maintaining the hedging portfolio are properly taken into account, semistatic portfolios should more properly be thought of as separate classes of derivatives, with nontrivial, modelādependent payoff structures. We derive new integral representations for payoffs of exotic European options in ā¦