Integer programs for margining option portfolios by option spreads with more than four legs

DOI10.1007/S10287-012-0159-XzbMath1296.91255OpenAlexW2066691318MaRDI QIDQ744225

Dmytro Matsypura, Timkovsky, Vadim G.

Publication date: 6 October 2014

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-012-0159-x

zbMATH Keywords

homomorphismoptionarbitragespreadmargin

Mathematics Subject Classification ID

Integer programming (90C10) Portfolio theory (91G10)

Related Items (1)

Counter-cyclical margins for option portfolios

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