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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Sarykalin, S. Uryasev, S. |
| Copyright Year | 2004 |
| Description | Author affiliation: Dept. of Ind. & Syst. Eng., Florida Univ., Gainesville, FL, USA (Sarykalin, S.; Uryasev, S.) |
| Abstract | We propose the algorithms for pricing American and European options in incomplete markets. We consider a non-self-financing replicating portfolio and minimize the hedging error consisting of the self-financing error of the portfolio dynamics and the error of the option's payoff replication. We treat the pricing problem as regression with constraints and reduce it to a quadratic minimization problem. The algorithms of pricing American and European options differ in imposing one additional type of constraints. Prices of options for different initial and strike prices can be found in one optimization run. The algorithms create a table representing the option price as a function of time and the underlying stock price for the whole lifetime of the option. We illustrate the numerical performance of the algorithms with options on futures contracts in natural gas market. |
| Starting Page | 1586 |
| Ending Page | 1588 |
| File Size | 357304 |
| Page Count | 3 |
| File Format | |
| ISBN | 0780387864 |
| DOI | 10.1109/WSC.2004.1371502 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2004-12-05 |
| Publisher Place | USA |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Pricing Contracts Systems engineering and theory Portfolios |
| Content Type | Text |
| Resource Type | Article |
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