Static replication of European standard dispersion options

DOI10.1080/14697688.2022.2040743zbMath1491.91139OpenAlexW4289705770MaRDI QIDQ5079371

Sébastien Bossu, Andrew Papanicolaou, Peter Carr

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)

Related Items (1)

Static Replication of European Multi-Asset Options with Homogeneous Payoff

Cites Work

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• Pricing and hedging guaranteed annuity options via static option replication.
• The Mathematics of Computerized Tomography
• MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS
• Hedging in Financial Markets
• Static Replication of Forward-Start Claims and Realized Variance Swaps
• Equity Derivatives
• Approximated moment-matching dynamics for basket-options pricing
• A functional analysis approach to the static replication of European options
• Linear integral equations

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