Basket Option Dispersion Calculator

Calculate basket option price and compare to sum of individual options. Quantify dispersion trade value from correlation between basket components.

Principal ($)
Annual Rate (%)
Years
Compounding / Year
$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How to Use

Enter the values for the scenario you are assessing. Calculate basket option price and compare to sum of individual options. Quantify dispersion trade value from correlation between basket components. Use the basket option dispersion result to inform your calculation.

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Frequently Asked Questions