TY - JOUR
T1 - Static replication of European standard dispersion options
AU - Bossu, Sébastien
AU - Carr, Peter
AU - Papanicolaou, Andrew
N1 - Funding Information:
Andrew Papanicolaou is partially supported by NSF grant DMS-1907518. The corresponding author thanks Hao Lu and Yucheng Wang for their help with Appendices 2 and 3. All remaining errors are his.
Publisher Copyright:
© 2022 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2022
Y1 - 2022
N2 - Dispersion options may be replicated using vanilla basket calls whose basket weights span an n-dimensional continuum.
AB - Dispersion options may be replicated using vanilla basket calls whose basket weights span an n-dimensional continuum.
UR - http://www.scopus.com/inward/record.url?scp=85127109963&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85127109963&partnerID=8YFLogxK
U2 - 10.1080/14697688.2022.2040743
DO - 10.1080/14697688.2022.2040743
M3 - Article
AN - SCOPUS:85127109963
VL - 22
SP - 799
EP - 811
JO - Quantitative Finance
JF - Quantitative Finance
SN - 1469-7688
IS - 5
ER -