Static replication of European standard dispersion options
Sébastien Bossu, Peter Carr and Andrew Papanicolaou
| Year of publication: |
2022
|
|---|---|
| Authors: | Bossu, Sébastien ; Carr, Peter ; Papanicolaou, Andrew |
| Subject: | EU-Staaten | EU countries | Theorie | Theory | Derivat | Derivative | Standardisierung | Standardization | Optionsgeschäft | Option trading |
| Description of contents: |
Dispersion options may be replicated using vanilla basket calls whose basket weights span an n-dimensional continuum
|
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2040743 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367861