Static replication of European standard dispersion options

Sébastien Bossu, Peter Carr, Andrew Papanicolaou

Research output: Contribution to journalArticlepeer-review


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

Original languageEnglish (US)
Pages (from-to)799-811
Number of pages13
JournalQuantitative Finance
Issue number5
StatePublished - 2022

ASJC Scopus subject areas

  • General Economics, Econometrics and Finance
  • Finance


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