A functional analysis approach to the static replication of European options

DOI10.1080/14697688.2020.1810857zbMath1477.91052OpenAlexW2973238102MaRDI QIDQ5014195

Sébastien Bossu, Andrew Papanicolaou, Peter Carr

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

zbMATH Keywords

optionsintegral equationderivativespayofffunctional analysisspectral theoremstatic replicationBreeden-Litzenberger formulaimplied distribution

Mathematics Subject Classification ID

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

Related Items (4)

Static replication of European standard dispersion options ⋮ A new representation of the risk-neutral distribution and its applications ⋮ On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution ⋮ A machine learning approach to portfolio pricing and risk management for high‐dimensional problems

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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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