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say I have an option that exchange A with B. If I can only hedge it using futures on the spreads between them, how would I do it?

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  • $\begingroup$ Try writing out the payoff of a vanilla option, a future on the same underlying, and then do the same for the exchange option and the future on the spread. See if you can see any similarities. $\endgroup$ – will May 3 at 19:03

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