A Model for Optimizing Options and Futures

DOI10.1111/J.1475-3995.1995.TB00031.XzbMath0847.90017OpenAlexW4241973659MaRDI QIDQ4884100

R. W. Murtagh, Bruce A. Murtagh

Publication date: 13 October 1996

Published in: International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1475-3995.1995.tb00031.x

zbMATH Keywords

optionsinvestment analysisfinanceexchange rateforeign currency debtnonlinear integer stochastic programming

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Integer programming (90C10) Stochastic programming (90C15)

Cites Work

• The Pricing of Options and Corporate Liabilities

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