Sebastien Bossu

NYU Courant

251 Mercer Street

New York, NY - 10012

United States

WPI Business School

Visiting Professor of Finance

100 Institute Road

Worcester, MA 01609-2280

United States

http://https://www.wpi.edu/people/faculty/sbossu

SCHOLARLY PAPERS

3

DOWNLOADS

381

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Static Replication of European Standard Dispersion Options

Number of pages: 21 Posted: 12 Oct 2020 Last Revised: 06 Mar 2021
Sebastien Bossu, Peter Carr and Andrew Papanicolaou
NYU Courant, New York University (NYU) - Finance and Risk Engineering Department and North Carolina State University - Department of Mathematics
Downloads 233 (164,385)
Citation 1

Abstract:

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dispersion option, static replication, Radon transform, fractional integral equation, Carr-Madan formula, Breeden-Litzenberger formula

2.

A Functional Analysis Approach to Static Replication of European Options

Number of pages: 23 Posted: 01 Jul 2019
Sebastien Bossu, Peter Carr and Andrew Papanicolaou
NYU Courant, New York University (NYU) - Finance and Risk Engineering Department and North Carolina State University - Department of Mathematics
Downloads 118 (291,188)

Abstract:

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derivatives, options, static replication, payoff, integral equations, functional analysis, spectral theorem, Breeden-Litzenberger

3.

Static Replication of European Multi-Asset Options with Homogeneous Payoff

Number of pages: 12 Posted: 28 Apr 2021
Sebastien Bossu
NYU Courant
Downloads 30 (571,055)

Abstract:

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option replication, Breeden-Litzenberger, Radon transform, worst-of, best-of, exotic option, multi-asset, integral equation