Computational methods for option replication

DOI10.1080/00207160.2011.555536zbMath1237.91232OpenAlexW1988978935MaRDI QIDQ2885507

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 methodsoption replicationvector sublatticemaximal replicated subspacesprojection bases

Mathematics Subject Classification ID

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

Related Items (1)

A heuristic process on the existence of positive bases with applications to minimum-cost portfolio insurance in \(C[a, b\)]

Cites Work

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

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