Static replication of European standard dispersion options-Reference-Cited by-同舟云学术

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Static replication of European standard dispersion options

Published:2022-03-23 Issue:5 Volume:22 Page:799-811
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Bossu Sébastien¹²,Carr Peter³,Papanicolaou Andrew⁴

Affiliation:

1. The Business School, Worcester Polytechnic Institute, Worcester, MA, USA

2. New York University Courant Institute of Mathematical Sciences, New York, NY, USA

3. Finance and Risk Engineering, NYU Tandon School of Engineering, Brooklyn, NY, USA

4. Department of Mathematics, North Carolina State University, Raleigh, NC, USA

Funder

NSF

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2022.2040743

Reference31 articles.

1. Austing, P., Repricing the cross smile: An analytic joint density. Risk Magazine, July, 2011.

2. Static Replication of Forward-Start Claims and Realized Variance Swaps

3. Hedging in Financial Markets

4. Bossu, S., Arbitrage pricing of equity correlation swaps. Technical Report, J.P. Morgan, 2005.

5. Advanced Equity Derivatives

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Static Replication of European Multi-Asset Options with Homogeneous Payoff;Applied Mathematical Finance;2021-09-03

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