Pricing European options by numerical replication: quadratic programming with constraints

DOI10.1007/S10690-005-9004-3MaRDI QIDQ853858zbMATH OpenOpenAlexFDO

Authors Valeriy Ryabchenko, Sergey Sarykalin, Stan Uryasev

Publication date 17 November 2006

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-005-9004-3

Mathematics Subject Classification ID

Quadratic programming (90C20)

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
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• Variance-Optimal Hedging in Discrete Time

Cited in

(1)

• A time-series approach to non-self-financing hedging in a discrete-time incomplete market

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