A functional analysis approach to the static replication of European options

DOI10.1080/14697688.2020.1810857zbMATH Open1477.91052OpenAlexW2973238102MaRDI QIDQ5014195FDOQ5014195

Authors: Sébastien Bossu, Peter Carr, Andrew Papanicolaou 

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1810857

Recommendations

• Static replication of European multi-asset options with homogeneous payoff
• Static replication of barrier-type options via integral equations
• Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs
• Replication scheme for the pricing of European options
• Static hedging under maturity mismatch

zbMATH Keywords

functional analysisoptionsintegral equationderivativesspectral theorempayoffstatic replicationBreeden-Litzenberger formulaimplied distribution

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• The pricing of options and corporate liabilities
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Title not available (Why is that?)
• A novel pricing method for European options based on Fourier-cosine series expansions
• Title not available (Why is that?)
• Option pricing when underlying stock returns are discontinuous
• Linear integral equations
• Handbook of integral equations
• The Dilogarithm Function
• Title not available (Why is that?)
• Inverses, determinants, eigenvalues, and eigenvectors of real symmetric Toeplitz matrices with linearly increasing entries
• Title not available (Why is that?)
• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
• Probability
• WAVELET OPTIMIZED VALUATION OF FINANCIAL DERIVATIVES
• Semistatic and sparse variance-optimal hedging

Cited In (11)

• Static replication of European standard dispersion options
• Computation of replicated exercise prices by using positive bases
• On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution
• Static replication of European multi-asset options with homogeneous payoff
• A new representation of the risk-neutral distribution and its applications
• A machine learning approach to portfolio pricing and risk management for high‐dimensional problems
• Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs
• Replication scheme for the pricing of European options
• The illusions of dynamic replication
• Static replication of barrier-type options via integral equations
• On certain representations of pricing functionals

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