AUTOMATED OPTION PRICING: NUMERICAL METHODS

DOI10.1142/S0219024913500428zbMath1296.91281MaRDI QIDQ5411737

Pierre Henry-Labordère

Publication date: 25 April 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

linear programmingmodel-independent boundsweighted Monte Carlo

Mathematics Subject Classification ID

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 (17)

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 ⋮ A multi-marginal c-convex duality theorem for martingale optimal transport ⋮ On entropy martingale optimal transport theory ⋮ Improved robust price bounds for multi-asset derivatives under market-implied dependence information ⋮ 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