Natalie Packham

We don’t have enough information about this author to calculate their statistics. If you think this is an error let us know.
Learn More
Can shorter maturity European options be statically hedged with longer maturity plain vanilla options? This problem appears for example when analyzing options on forwards in relation to liquid options on the spot underlying. Under mild assumptions on the underlying security price process and on the option's payoff function we show that approximate static(More)
  • 1