Computational methods for option replication

DOI10.1080/00207160.2011.555536MaRDI QIDQ2885507zbMATH OpenOpenAlexFDO

Authors Vasilios N. Katsikis

Publication date 23 May 2012

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2011.555536

zbMATH Keywords

computational methodsmaximal replicated subspacesoption replicationprojection basesvector sublattice

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• scientific article; zbMATH DE number 1222808
• Computational Methods for Option Pricing
• Replication scheme for the pricing of European options
• Option pricing using a computational method based on reproducing kernel
• Computational methods for pricing American put options
• Computational methods for incentive option valuation
• Using computational methodology to price European options with actual payoff distributions
• scientific article; zbMATH DE number 2094611
• AUTOMATED OPTION PRICING: NUMERICAL METHODS

Cites work

• A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of R^n: applications in portfolio insurance
• Computational methods in lattice-subspaces of \(C[a,b]\) with applications in portfolio insurance
• Computational methods in portfolio insurance
• Finite-dimensional lattice-subspaces of 𝐶(Ω) and curves of ℝⁿ
• Linear Optimization in C (Ω) and Portfolio Insurance
• Markets that don't replicate any option.
• Minimal lattice-subspaces
• Options and Efficiency

Cited in

(7)

• A heuristic process on the existence of positive bases with applications to minimum-cost portfolio insurance in \(C[a, b]\)
• Option pricing using a computational method based on reproducing kernel
• Methods on Computing Positive Bases in Finite‐Dimensional Vector Sublattices. Applications in Completion of Security Markets and in the Theory of Efficient Funds.
• Nonreplication of options
• A new characterization of markets that don't replicate any option through minimal-lattice subspaces. A computational approach
• Computation of replicated exercise prices by using positive bases
• Maximal submarkets that replicate any option

This page was built for publication: Computational methods for option replication

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2885507)