Static replication of European standard dispersion options

Sébastien Bossu; Peter Carr; Andrew Papanicolaou

doi:10.1080/14697688.2022.2040743

Static replication of European standard dispersion options

Sébastien Bossu, Peter Carr, Andrew Papanicolaou

Finance and Risk Engineering

Research output: Contribution to journal › Article › peer-review

Abstract

Dispersion options may be replicated using vanilla basket calls whose basket weights span an n-dimensional continuum.

Original language	English (US)
Pages (from-to)	799-811
Number of pages	13
Journal	Quantitative Finance
Volume	22
Issue number	5
DOIs	https://doi.org/10.1080/14697688.2022.2040743
State	Published - 2022

ASJC Scopus subject areas

General Economics, Econometrics and Finance
Finance

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10.1080/14697688.2022.2040743

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title = "Static replication of European standard dispersion options",

abstract = "Dispersion options may be replicated using vanilla basket calls whose basket weights span an n-dimensional continuum.",

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Static replication of European standard dispersion options

Abstract

ASJC Scopus subject areas

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