英文标题：
《A robust algorithm and convergence analysis for static replications of
nonlinear payoffs》
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作者：
Jingtang Ma, Dongya Deng, Harry Zheng
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最新提交年份：
2014
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英文摘要：
In this paper we propose a new robust algorithm to find the optimal static replicating portfolios for general nonlinear payoff functions and give the estimate of the rate of convergence that is absent in the literature. We choose the static replication by minimizing the error bound between the nonlinear payoff function and the linear spline approximation and derive the equidistribution equation for selecting the optimal strike prices. The numerical tests for variance swaps and swaptions and also for the static quadratic replication and the model with counterparty risk show that the proposed algorithm is simple, fast and accurate. The paper has generalized and improved the results of the static replication and approximation in the literature.
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中文摘要：
在本文中，我们提出了一种新的鲁棒算法来寻找一般非线性支付函数的最优静态复制投资组合，并给出了文献中没有的收敛速度估计。我们通过最小化非线性支付函数和线性样条逼近之间的误差界来选择静态复制，并推导了选择最优执行价格的等分布方程。对方差交换和交换期权以及静态二次复制和具有交易对手风险的模型的数值测试表明，该算法简单、快速、准确。本文推广和改进了文献中静态复制和近似的结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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