A moment-matching method to generate arbitrage-free scenarios

被引：4
作者：
Staino, Alessandro [1 ]
Russo, Emilio [1 ]
机构：
[1] Univ Calabria, Dept Econ Stat & Finance, I-87036 Arcavacata Di Rende, CS, Italy
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2015年 / 246卷 / 02期
关键词：
Scenarios; Monomial method; Moment-matching; STOCHASTIC-PROGRAMMING MODELS; MULTISTAGE DECISION-PROBLEMS; VALUE-AT-RISK; ASSET/LIABILITY MANAGEMENT; LIABILITY MANAGEMENT; PORTFOLIO MANAGEMENT; TREE GENERATION; MONOMIAL METHOD; ASSET; OPTIMIZATION;
D O I：
10.1016/j.ejor.2015.04.045
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
We propose a new moment-matching method to build scenario trees that rule out arbitrage opportunities when describing the dynamics of financial assets. The proposed scenario generator is based on the monomial method, a technique to solve systems of algebraic equations. Extensive numerical experiments show the accuracy and efficiency of the proposed moment-matching method when solving financial problems in complete and incomplete markets. (C) 2015 Elsevier B.V. and Association of European Operational Research Societies (EURO) within the International Federation of Operational Research Societies (IFORS). All rights reserved.
引用
收藏
页码：619 / 630
页数：12
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