Pricing European options by numerical replication: quadratic programming with constraints

DOI10.1007/S10690-005-9004-3zbMATH Open1147.91330OpenAlexW3122657079MaRDI QIDQ853858FDOQ853858

Authors: Valeriy Ryabchenko, Sergey Sarykalin, Stan Uryasev 

Publication date: 17 November 2006

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-005-9004-3

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Mathematics Subject Classification ID

Quadratic programming (90C20)

Cites Work

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• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
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• Pricing American stock options by linear programming
• OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST

Cited In (1)

• A time-series approach to non-self-financing hedging in a discrete-time incomplete market

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