Static replication of European standard dispersion options

Sébastien Bossu, Peter Carr, Andrew Papanicolaou

Research output: Contribution to journalArticlepeer-review

Abstract

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
Volume22
Issue number5
DOIs
StatePublished - 2022

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance(all)

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