Computation of vector sublattices and minimal lattice-subspaces of R^k. Applications in finance

Details Computation of vector sublattices and minimal lattice-subspaces of R^k. Applications in finance Computation of vector sublattices and minimal lattice-subspaces of R^k. Applications in finance

2010-06-18

arxiv.org/abs/1006.4070v1

Economy

Quantitative Finance

Computational Finance

22 pages

Scientific paper

In this article we perform a computational study of Polyrakis algorithms presented in [12,13]. These algorithms are used for the determination of the vector sublattice and the minimal lattice-subspace generated by a finite set of positive vectors of R^k. The study demonstrates that our findings can be very useful in the field of Economics, especially in completion by options of security markets and portfolio insurance.

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