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Suppose if we will like to price an exotic option with a model,we calibrate them to natural hedging instruments that are available in the market. Do we use all the instruments as hedge or only a portion of them?

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  • $\begingroup$ Typically you require all strikes, but only instruments with expires less than or equal to that of the exotic. $\endgroup$ – will Oct 20 '19 at 8:23

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