← The Strategy Encyclopedia
Exotic Static Replication strategies
5 documented Exotic Static Replication strategies from our reference catalogue of 20,000 — names, logic and sources. Catalogued here, tested honestly, and — usually — buried in the graveyard.
Carr-Madan formulaMulti
Replicate any payoff via puts and calls
Source: Carr-Madan 1998
Variance swap as basketLong vol
Variance swap = portfolio of OTM puts and calls weighted 1/K^2
Source: Demeterfi
Log contractMulti
Log contract perfectly replicated by static portfolio
Source: Neuberger
Power optionsLong vol
Payoff = max(S^p - K^p 0); replicable by vanilla
Source: encyclopedia
Variance gamma modelMulti
Madan-Seneta variance-gamma jump model
Source: Madan-Seneta
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.