Static replication of European standard dispersion options
Year of publication: |
2022
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Authors: | Bossu, Sébastien ; Carr, Peter ; Papanicolaou, Andrew |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 5, p. 799-811
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Subject: | Derivat | Derivative | EU-Staaten | EU countries | Europa | Europe |
Description of contents: |
Dispersion options may be replicated using vanilla basket calls whose basket weights span an n-dimensional continuum
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