Static replication of European standard dispersion options

Sébastien Bossu, Peter Carr and Andrew Papanicolaou

Quantitative Finance, 2022, vol. 22, issue 5, 799-811

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

Date: 2022
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DOI: 10.1080/14697688.2022.2040743

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