Computational methods for option replication

Computational methods for option replication

A computational method is described for option replication. In particular, a procedure is provided for computing the projection basis that corresponds to a positive basis of R m. Application of this procedure in order to compute maximal submarkets that replicate any option is demonstrated. Specifically, we provide a computational study for replication of options in security markets with a finit...

islanding detection methods for microgrids

امروزه استفاده از منابع انرژی پراکنده کاربرد وسیعی یافته است . اگر چه این منابع بسیاری از مشکلات شبکه را حل می کنند اما زیاد شدن آنها مسائل فراوانی برای سیستم قدرت به همراه دارد . استفاده از میکروشبکه راه حلی است که علاوه بر استفاده از مزایای منابع انرژی پراکنده برخی از مشکلات ایجاد شده توسط آنها را نیز منتفی می کند . همچنین میکروشبکه ها کیفیت برق و قابلیت اطمینان تامین انرژی مشترکان را افزایش ...

MATLAB Aided Option Replication

Saddlepoint Methods for Option Pricing

The Fourier transform of the density for the logarithm of the stock price has seen numerous …nancial applications. For a theoretical perspective we cite as examples Du¢ e, Pan and Singleton (2000), and Bakshi and Madan (2000). This transform has become a standard calibration engine following the methods of Carr and Madan (1999) who invoked the Fast Fourier transform for its speed. Direct Fourie...

Computational methods to study kinetics of DNA replication.

New technologies such as DNA combing have led to the availability of large quantities of data that describe the state of DNA while undergoing replication in S phase. In this chapter, we describe methods used to extract various parameters of replication--fork velocity, origin initiation rate, fork density, numbers of potential and utilized origins--from such data. We first present a version of t...