AUTOMATED OPTION PRICING: NUMERICAL METHODS

作     者：Henry-Labordere, Pierre 

作者机构：Soc Gen Global Markets Quantitat Res 17 Cours Valmy La Defense France 

出 版 物：《INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE》 (理论与应用财政学国际杂志)

年 卷 期：2013年第16卷第8期

页      面：1350042-1350042页

学科分类：0202[经济学-应用经济学] 02[经济学] 1202[管理学-工商管理] 

主　　题：Linear programing model-independent bounds weighted Monte Carlo 

摘      要：In this paper, we investigate model-independent bounds for option prices given a set of market instruments. This super-replication problem can be written as a semi-infinite linear programing problem. As these super-replication prices can be large and the densities Q which achieve the upper bounds quite singular, we restrict Q to be close in the entropy sense to a prior probability measure at a next stage. This leads to our risk-neutral weighted Monte Carlo approach which is connected to a constrained convex problem. We explain how to solve efficiently these large-scale problems using a primal-dual interiorpoint algorithm within the cutting-plane method and a quasi-Newton algorithm. Various examples illustrate the efficiency of these algorithms and the large range of applicability.