# Tag Info

Your question is in fact one on the linearity of the replication cost of an option. Let formulate it a general way: once you can express the replication cost $C$ of a payoff as a function of several factors $X$, the strike $S$ and the volatility $\sigma$ that you assume to be a function of the strike, you are asking if \frac{1}{N}\sum_\ell C\big(X, S_\ell,...