Super-Replication of Financial Derivatives Via Convex Programming
نویسندگان
چکیده
منابع مشابه
Superreplication of Financial Derivatives via Convex Programming
We give a method based on convex programming to calculate the optimal super-replicating and sub-replicating prices and corresponding hedging strategies of a financial derivative in terms of other financial derivatives. Our method finds a model that matches the superreplicating (or sub-replicating) price within an arbitrary precision and is consistent with the other financial derivatives prices....
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2172315