Unit:
Κατεύθυνση Οικονομική Πολιτική και ΑνάπτυξηLibrary of the Faculty of Economics and of the Faculty of Business Administration
Author:
Bakoysi Konstantina
Supervisors info:
ΒΑΣΙΛΕΙΟΣ ΚΑΤΣΙΚΗΣ, ΑΝΑΠΛΗΡΩΤΗΣ ΚΑΘΗΓΗΤΗΣ, ΤΜΗΜΑ ΟΙΚΟΝΟΜΙΚΩΝ ΕΠΙΣΤΗΜΩΝ, ΕΘΝΙΚΟΝ ΚΑΙ ΚΑΠΟΔΙΣΤΡΙΑΚΟΝ ΠΑΝΕΠΙΣΤΗΜΙΟΝ ΑΘΗΝΩΝ
Original Title:
Υπολογιστικές Μέθοδοι για την Υποκατάσταση Δικαιωμάτων Προαίρεσης
Translated title:
Computational methods for option replication
Summary:
In the following study is described a computational method for option replication. The
theoritical background used for the present analysis is based on the theory of positive
basis and projection basis as well as on the theory of linear lattices. In particular, a
procedure - methodology is described for computing the projection basis that corresponds to a positive basis of R^m. The goal of this theory is to compute maximal submarkets that replicate any option. Our aim is to provide a useful tool in securities markets.
Main subject category:
Social, Political and Economic sciences
Keywords:
Computational methods, option replication, theory of positive basis, theory of projection basis, theory of linear lattices
File:
File access is restricted only to the intranet of UoA.
Διπλωματική Εργασία.pdf
587 KB
File access is restricted only to the intranet of UoA.
