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Pricing European Options by Numerical Replication: Quadratic Programming with Constraints

  • Valeriy Ryabchenko

    ()

  • Sergey Sarykalin

    ()

  • Stan Uryasev

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s10690-005-9004-3
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    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 11 (2004)
    Issue (Month): 3 (September)
    Pages: 301-333

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    Handle: RePEc:kap:apfinm:v:11:y:2004:i:3:p:301-333
    Contact details of provider: Web page: http://springerlink.metapress.com/link.asp?id=102851

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    1. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    2. Levy, Haim, 1985. " Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach," Journal of Finance, American Finance Association, vol. 40(4), pages 1197-1217, September.
    3. Carriere, Jacques F., 1996. "Valuation of the early-exercise price for options using simulations and nonparametric regression," Insurance: Mathematics and Economics, Elsevier, vol. 19(1), pages 19-30, December.
    4. Ritchken, Peter H, 1985. " On Option Pricing Bounds," Journal of Finance, American Finance Association, vol. 40(4), pages 1219-33, September.
    5. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
    6. Boyle, Phelim P., 1977. "Options: A Monte Carlo approach," Journal of Financial Economics, Elsevier, vol. 4(3), pages 323-338, May.
    7. Naik, Vasanttilak & Uppal, Raman, 1994. "Leverage Constraints and the Optimal Hedging of Stock and Bond Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(02), pages 199-222, June.
    8. Bertsimas, Dimitris. & Popescu, Ioana., 1999. "On the relation between option and stock prices : a convex optimization approach," Working papers WP 4085-99., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    9. M. A. H. Dempster & J. P. Hutton, 1999. "Pricing American Stock Options by Linear Programming," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 229-254.
    10. Perrakis, Stylianos & Ryan, Peter J, 1984. " Option Pricing Bounds in Discrete Time," Journal of Finance, American Finance Association, vol. 39(2), pages 519-25, June.
    11. Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
    12. Edirisinghe, Chanaka & Naik, Vasanttilak & Uppal, Raman, 1993. "Optimal Replication of Options with Transactions Costs and Trading Restrictions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 117-138, March.
    13. Ait-Sahalia, Yacine & Duarte, Jefferson, 2003. "Nonparametric option pricing under shape restrictions," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 9-47.
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