Showing 1 - 2 of 2
The replication of any European contingent claim by a static portfolio of calls and puts with strikes forming a continuum, formally proven by Carr and Madan (1998), extends to "standard dispersion" options written on the Euclidean norm of a vector of n asset performances. With the help of...
Persistent link: https://www.econbiz.de/10013243496
Persistent link: https://www.econbiz.de/10013367861