Before revision:  In this paper  , we perform a number of Monte Carlo experiments to test the effectiveness of Carr and Lee's immunization strategy.
After revision:  In this paper , we show that the correlation immunization strategy is the only strategy among the class of strategies discussed in Carr and Lee (2008) that results in real-valued hedging portfolios when the correlation between the asset's price and volatility is nonzero. Additionally , we perform a number of Monte Carlo experiments to test the effectiveness of Carr and Lee's immunization strategy.