AN ADAPTIVE METHOD FOR EVALUATING MULTIDIMENSIONAL CONTINGENT CLAIMS: PART I
نویسندگان
چکیده
منابع مشابه
Duplicating Contingent Claims by the Lagrange Method
The problem of investing y (0) dollars at time 0 to duplicate a contingent claim is formulated as a dynamic optimization problem and solved by the Lagrange method. As an example, the well-known formula of Black and Scholes on option pricing is derived. If the function defining dy (t) is concave in y (t), owing to costs of trading in incomplete markets, there is economy of scale in producing man...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2003
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024903001931