Skip to main content
Quantitative Finance

Return to Question

Tweeted twitter.com/StackQuant/status/928747064179281922
edited body
Source Link
Jared
Jared
  • 745
  • 8
  • 26

Say I have infinite precision of strikes $K$ (continuous world $dk$) and expirations $T$ (continuous $dk$$dT$) all with liquidity (so no practical limitations). What positions in an underlying can't be replicated? I'm under the impression I can replicate any European payoff, so if I had infinite expirations I could replicate really any position.

Say I have infinite precision of strikes $K$ (continuous world $dk$) and expirations $T$ (continuous $dk$) all with liquidity (so no practical limitations). What positions in an underlying can't be replicated? I'm under the impression I can replicate any European payoff, so if I had infinite expirations I could replicate really any position.

Say I have infinite precision of strikes $K$ (continuous world $dk$) and expirations $T$ (continuous $dT$) all with liquidity (so no practical limitations). What positions in an underlying can't be replicated? I'm under the impression I can replicate any European payoff, so if I had infinite expirations I could replicate really any position.

Source Link
Jared
Jared
  • 745
  • 8
  • 26

What Positions on an Underlier CANNOT be Hedged with Vanillas?

Say I have infinite precision of strikes $K$ (continuous world $dk$) and expirations $T$ (continuous $dk$) all with liquidity (so no practical limitations). What positions in an underlying can't be replicated? I'm under the impression I can replicate any European payoff, so if I had infinite expirations I could replicate really any position.