Option strategies with linear programming

DOI10.1016/S0377-2217(03)00235-2zbMath1106.91033MaRDI QIDQ1877041

Christos Papahristodoulou

Publication date: 16 August 2004

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

Linear programmingFinanceOption portfolios

Mathematics Subject Classification ID

Linear programming (90C05)

Related Items

Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ Hedging strategy for a portfolio of options and stocks with linear programming ⋮ Options strategies with the risk adjustment

Cites Work

• The Pricing of Options and Corporate Liabilities
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