the Option Replication and Portfolio Insurance Toolbox
ORPIT is a Matlab toolbox containing all the necessary functions in order to calculate vector lattices, options replication and the minimum-cost insured portfolio in incomplete markets. ORPIT standing for "Option Replication and Portfolio Insurance Toolbox". The package was developed by V.N. Katsikis and S.D. Mourtas.
Installation: To install the package, extract the archive in the directory of your choice. Then run the functions and the GUI at the root of the Option Replication and Portfolio Insurance Toolbox directory. Also, ORPIT uses the toolbox inference_with_classifiers that can be found here and it has to be included inside the directory of ORPIT.
Documentation: The site contains detailed descriptions of all the functions that comprise ORPIT, as well as many examples. Documentation is also available in the paper.
If you use the Option Replication and Portfolio Insurance Toolbox in your research, please kindly cite the following paper:
V.N. Katsikis, S.D. Mourtas, "ORPIT: a Matlab Toolbox for Option Replication and Portfolio Insurance in Incomplete Markets", Computational Economics, 56 (4), 711-721 (2020)
Contact: If you have any questions about the Option Replication and Portfolio Insurance Toolbox, please contact V.N. Katsikis at vaskatsikis@econ.uoa.gr