Home > Mathematics, Statistics > Vol 12 No 1 June 2024 Abstract 2
Interpolation of the Option Portfolio Valuation
Shamita Dutta Gupta, Ph.D

Abstract
In the option portfolio management, when the portfolio is complex, sometimes it is too expensive to revalue the whole portfolio computationally. One common practice is to interpolate the portfolio valuation using the interpolation based on a few pivot points. In this research, we are going to compare four interpolation approaches: Polynomial Fit, Cubic Spline, Black Scholes Fit, and Black Scholes Inverse. The Black Scholes Fit, Black Scholes Inverse are new approaches. We will demonstrate the conclusion with simulation results on some sample portfolios.

Full Text: PDF     DOI: 10.15640/arms.v12n1a2