AUTOMATED OPTION PRICING: NUMERICAL METHODS

DOI10.1142/S0219024913500428MaRDI QIDQ5411737zbMATH OpenFDO

Authors Pierre Henry-Labordère

Publication date 25 April 2014

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024913500428

zbMATH Keywords

linear programmingmodel-independent boundsweighted Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Linear programming (90C05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Exponential Hedging and Entropic Penalties
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• Minimum-relative-entropy calibration of asset-pricing models
• Model-independent bounds for option prices -- a mass transport approach
• Numerical recipes. The art of scientific computing.
• Robust static hedging of barrier options in stochastic volatility models

Cited in

(22)

• Computation of optimal transport and related hedging problems via penalization and neural networks
• On the stability of the martingale optimal transport problem: a set-valued map approach
• Computational methods for martingale optimal transport problems
• Bounds for VIX futures given S{\&}P 500 smiles
• Model-independent superhedging under portfolio constraints
• Computational methods for option replication
• Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
• Model-independent bounds for option prices -- a mass transport approach
• No-arbitrage bounds for the forward smile given marginals
• Robust pricing and hedging of options on multiple assets and its numerics
• Martingale transport with homogeneous stock movements
• Robust statistical arbitrage strategies
• Consistent upper price bounds for exotic options
• Model-free price bounds under dynamic option trading
• On intermediate marginals in martingale optimal transportation
• Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle
• A multi-marginal c-convex duality theorem for martingale optimal transport
• On entropy martingale optimal transport theory
• Improved robust price bounds for multi-asset derivatives under market-implied dependence information
• Computation of robust option prices via structured multimarginal martingale optimal transport
• Dispersion-constrained martingale Schrödinger bridges: joint entropic calibration of stochastic volatility models to S\&P 500 and VIX smiles
• Pricing European options by numerical replication: quadratic programming with constraints

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