Computational methods for option replication
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Publication:2885507
DOI10.1080/00207160.2011.555536zbMath1237.91232OpenAlexW1988978935MaRDI 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 methodsoption replicationvector sublatticemaximal replicated subspacesprojection bases
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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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
- 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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