AUTOMATED OPTION PRICING: NUMERICAL METHODS
From MaRDI portal
Publication:5411737
DOI10.1142/S0219024913500428zbMath1296.91281MaRDI QIDQ5411737
Publication date: 25 April 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Linear programming (90C05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (14)
Bounds for VIX futures given S{\&}P 500 smiles ⋮ Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem ⋮ No-arbitrage bounds for the forward smile given marginals ⋮ Model-independent bounds for option prices -- a mass transport approach ⋮ On intermediate marginals in martingale optimal transportation ⋮ Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle ⋮ On the stability of the martingale optimal transport problem: a set-valued map approach ⋮ Model-Free Price Bounds Under Dynamic Option Trading ⋮ Computation of optimal transport and related hedging problems via penalization and neural networks ⋮ Computational methods for martingale optimal transport problems ⋮ Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics ⋮ Martingale transport with homogeneous stock movements ⋮ Robust statistical arbitrage strategies ⋮ Model-independent superhedging under portfolio constraints
Cites Work
- Unnamed Item
- Model-independent bounds for option prices -- a mass transport approach
- Robust static hedging of barrier options in stochastic volatility models
- Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
- Minimum-Relative-Entropy Calibration of Asset-Pricing Models
- Exponential Hedging and Entropic Penalties
This page was built for publication: AUTOMATED OPTION PRICING: NUMERICAL METHODS
