Computational methods for option replication
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Publication:2885507
DOI10.1080/00207160.2011.555536zbMath1237.91232MaRDI QIDQ2885507
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
computational methods; option replication; vector sublattice; maximal replicated subspaces; projection bases
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
- A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of \(\mathbb R^n\): applications in portfolio insurance
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