In mathematical finance, a replicating portfolio for a given asset or series of cash flows is a portfolio of assets with the same properties (especially...

underlying share. The position created is known as a "replicating portfolio" since its cash flows replicate those of the option. As shown above ("Assets with...

concept is used to define for example admissible strategies and replicating portfolios, the latter being fundamental for arbitrage-free derivative pricing...

used: The simplest way to value barrier options is to use a static replicating portfolio of vanilla options (which can be valued with Black–Scholes), chosen...

Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return...

market probability distribution. This ensures that the discounted replicating portfolio process is a Martingale under risk neutral conditions. If such a...

equation § Derivation of the Black–Scholes PDE; Rational pricing § The replicating portfolio Kjølhede, Christian; Bech, Anders. "Post-Crisis Pricing of Swaps...

(One major modification here is that these models often rely on a replicating portfolio as opposed to traditional risk neutral pricing.) Typical corporate...

typically employed Real options valuation Rational pricing § The replicating portfolio Financial economics § Corporate finance theory Lattice model (finance)...

the underlying security is approximately removed. What is more, a replicating portfolio of a variance swap would require an entire strip of options, which...

including others in the maritime domain and some in the counter-UAS portfolio”, a Defense Department release said. On September 30, 2024, Defense Secretary...

invalidate the use of a constant discount rate, some analysts use the "replicating portfolio approach", as opposed to Risk neutral valuation, and modify their...

custom benchmark for each portfolio to be developed, using the linear combination of style indices that best replicate portfolio style allocation, and leads...

ISSN 0022-1082. Cambou, Mathieu; Filipović, Damir (13 November 2017). "Replicating portfolio approach to capital calculation". Finance and Stochastics. 22 (1):...

deviated from the theoretical price that would have resulted from replicating the portfolio of options underlying the swaps using options pricing formulas...

standard way of choosing the derivative I consists in choosing a replicating portfolios of options for H. In practice, one will price H without variance...

to simply add "Hedge Fund Beta" to their portfolio. These early investors have been rewarded as the replicators outperformed their direct investment cousins...

the Amazon Web Services portfolio. DynamoDB offers a fast persistent key–value datastore with built-in support for replication, autoscaling, encryption...

Since these exposures theoretically represent percentages of a replicating portfolio, we often apply the following constraints: ∑ i = 1 I β i = 1 ; β...

option, both with the identical strike price and expiry, namely that a portfolio of a long call option and a short put option is equivalent to (and hence...

are expected to replicate, before trading and other costs, the returns of an index exactly, while others 'actively manage' the portfolio by deviating from...

Intertemporal portfolio choice is the process of allocating one's investable wealth to various assets, especially financial assets, repeatedly over time...

information or literature can usually do little to stop their first buyer from replicating it and selling it at a lower price. Balancing rights so that they are...

openvswitch.org. Retrieved 2016-07-04. "Arista Expands Leaf Switch Product Portfolio" (Press release). Arista Networks. 22 October 2014. Retrieved 8 November...

investment performance and insulate returns from market risk. Among these portfolio techniques are short selling and the use of leverage and derivative instruments...

An investment strategy or portfolio is considered market-neutral if it seeks to avoid some form of market risk entirely, typically by hedging. To evaluate...

where it continues to license its technologies independently. As the portfolio of patent expired, the presence of DiscoVision became less visible. However...

investing) is an investing strategy that tracks a market-weighted index or portfolio. Passive management is most common on the equity market, where index funds...

and directly: indirectly by providing portfolio information and others' performance that users can try to replicate on their own, and directly by enabling...

can invoke the martingale representation theorem to find a replicating strategy – a portfolio of stocks and bonds that pays off H t {\displaystyle H_{t}}...