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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Super-replication price؟

Definition 1.15 Derivatives and Volatility · الفصل 1 — No Arbitrage and the Fundamental Theorems

The super-replication price of a claim gg is the lowest cost of a portfolio of traded assets that pays at least gg in every state: inf⁡{p⋅θ:Dθ≥g}\inf\{p\cdot\theta: D\theta\ge g\}. The sub-replication price is the highest cost of one that pays at most gg.

The no-arbitrage interval of a call in the trinomial market, by strike. Once one option trades (the 100 call at 6.00) the market is complete and every other strike has a single price, the dashed line, inside the band. Data: the tutorial.
Figure 1.3. The no-arbitrage interval of a call in the trinomial market, by strike. Once one option trades (the 100 call at 6.00) the market is complete and every other strike has a single price, the dashed line, inside the band. Data: the tutorial.
Where a call price can lie: between the discounted intrinsic value P (F-K,0) and the discounted forward PF, decreasing and convex in the strike. The solid curve is the chain of the weekend problem (forward 5 850, one year, a skewed smile). Illustrative parameters.
Figure 1.4. Where a call price can lie: between the discounted intrinsic value Pmax⁡(F−K,0)P\max(F-K,0) and the discounted forward PFPF, decreasing and convex in the strike. The solid curve is the chain of the weekend problem (forward 5 850, one year, a skewed smile). Illustrative parameters.
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