CARR, PETER; WU, LIUREN - 2002
types of strategies using more than six years of data on S&P 500 index options. We find that a static hedge using just five … with our jump model simulations lends empirical support for the existence of jumps of random size in the movement of the S&P … 500 index. We also find that our static strategy performs best when the maturity of the options in the hedging portfolio …