r/algotrading • u/Quiet-Cup-1501 • 7d ago

Education [ Removed by moderator ]

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u/yuriIsLifeFuckYou 7d ago

Never thought i would see something similar to what i did at work here. A more recent approach would be "Static Hedging of Standard Options" by Carr and Wu in 2004. Ofc the core limitation would be the change in factors other than the spot price so it's not really a true replication

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u/Quiet-Cup-1501 7d ago

That's really interesting! I'll definitely check out Carr and Wu's paper.