An integer programming based strategy for Asian-style futures arbitrage over the settlement period

DOI10.3233/AF-180219zbMath1419.91607WikidataQ129974977 ScholiaQ129974977MaRDI QIDQ4586462

Kelvin K. Kan, Alfred Ka Chun Ma, Raymond Honfu Chan

Publication date: 13 September 2018

Published in: Algorithmic Finance (Search for Journal in Brave)

zbMATH Keywords

integer programmingarbitrageAsian-style futuresAsian-style settlement procedureexpiration day

Mathematics Subject Classification ID

Integer programming (90C10) Derivative securities (option pricing, hedging, etc.) (91G20)

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