# Questions tagged [replication]

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### How to Compute the payoff of Var Swaps, which I have replicated

I used Derman(1999) method, to calculate the fixed Kvar for Variance Swaps using actual option price data. The first Pic Shows the outcome. (ignore the 0s). Now the profit and loss of short var swaps ...
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### interview question : replication strategy of a betting game

Here is a question I found in a book I am not able to finish. Your help will be much appreciated! I also included where I have been so far. Q: Team A plays team B in a series of 7 games, whoever wins ...
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I am looking for any reference where the following problem was addressed: given the list of trades of a trader teach an AI to replicate that trader's strategy. There are several well-known results ...
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### replicating strategy three step binomial

I am having some trouble setting up a replicating strategy for a call option with a three step binomial model (discrete). I have no trouble doing this in a two step binomial model by backward ...
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Just trying to check my logic here: Let $Z(t,T)$ be a Zero-Coupon Bond with maturity $T$ bought at time $t$, $S_m$ be the spot interest rate for time $m$ and $S_n$ for time $n$ respectively, where $n ... 0answers 63 views ### Pricing an exotic with barrier at discrete times How would you price the following option on underlying$S$without dividends? Time to maturity of option$\tau = 12$months Option has a strike$K > 0$and constant barrier$B > 0$.$t_0$is ... 0answers 102 views ### Price futures option via replication I ran into some difficulties when trying to price a futures option via replication in a simple one-period binomial model. I am quite aware that this is easy with risk-neutral probabilities and ... 0answers 224 views ### Is the replication porfolio for a European Call, self financing for changes in time? I was reading slide 29 here: http://people.hss.caltech.edu/~jlr/courses/BEM103/Readings/JWCh11.pdf (mirror) Sub-heading: "An interpretation of the Black-Scholes formula" It is saying that the below ... 0answers 226 views ### The difference between hedging and replicationg methods of deriving option prices For deriving, say European, option prices, is there a difference between the replication approach and the hedging approach? More specifically, is there a situation where the hedging approach will not ... 0answers 80 views ### Writing option on one's own default Maybe this is a weird question, but suppose that, for some reason, one would like to write an (implicit) option whose payoff is indexed on the writer's CDS spread. I would like to know what would be a ... 0answers 79 views ### Replicating portfolio: initial portfolio? I have a bit of trouble understanding how to determine the replicating portfolio of a call using just a stock and the riskfree asset. I have times$t = 0,1,2$, and at time$2$, we have$3$payoffs ($...
I have a question concerning the super-replication of a call in a trinomial tree which has the following characteristics: Suppose we have one risky asset $S_t=2+\sum_{k=1}^tZ_i$, where \$P(Z_i=0)=P(...