Static replication of European standard dispersion options

DOI10.1080/14697688.2022.2040743MaRDI QIDQ5079371zbMATH OpenOpenAlexFDO

Authors Sébastien Bossu, Peter Carr, Andrew Papanicolaou

Publication date 27 May 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2022.2040743

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

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• The mathematics of computerized tomography

Cited in

(3)

• Static Replication of Forward-Start Claims and Realized Variance Swaps
• Static replication of European multi-asset options with homogeneous payoff
• Spanning multi-asset payoffs with ReLUs

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