Pricing European options by numerical replication: quadratic programming with constraints

DOI10.1007/s10690-005-9004-3zbMath1147.91330OpenAlexW3122657079MaRDI QIDQ853858

Valeriy Ryabchenko, Stan Uryasev, Sergey Sarykalin

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

Mathematics Subject Classification ID

Related Items (1)

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Mean-variance hedging in continuous time
• Option hedging for semimartingales
• The practice of portfolio replication. A practical overview of forward and inverse problems
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Monte Carlo methods for security pricing
• Nonparametric option pricing under shape restrictions
• Duality and martingales: a stochastic programming perspective on contingent claims
• Pricing American Stock Options by Linear Programming
• Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
• OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Quasi-Monte Carlo Methods in Numerical Finance
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• Variance-Optimal Hedging in Discrete Time
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• A stochastic programming model for currency option hedging

This page was built for publication: Pricing European options by numerical replication: quadratic programming with constraints