A new computational tool for option replication

Vasilios N Katsikis

Mathematical Conferences Niš, Serbia, 13th Serbian Mathematical Congress

Vasilios N Katsikis

Last modified: 2014-02-05

Abstract

In this work we present a new computational tool for option replication. Specifically, we propose new methods for computing the replicated exercise prices of a given portfolio under a matrix-based framework. Our analysis involves the theory of positive bases in Riesz spaces.

Keywords

Riesz spaces; positive bases; option replication