期刊
FILOMAT
卷 30, 期 11, 页码 2973-2984出版社
UNIV NIS, FAC SCI MATH
DOI: 10.2298/FIL1611973K
关键词
Replicated exercise price; positive bases
A procedure is provided for computing the replicated exercise prices of a given portfolio. We highlight a matrix-based framework for analyzing option replication. The new matrix formulation allows the development of efficient computational methods in order to determine the replicated exercise prices of a given portfolio by using the theory of positive bases in vector lattices.
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