Hedging strategy for a portfolio of options and stocks with linear programming

DOI10.1016/j.amc.2007.10.042zbMath1136.91440OpenAlexW1990746665MaRDI QIDQ928101

Mehmet Horasanlı

Publication date: 11 June 2008

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2007.10.042

zbMATH Keywords

linear programminghedgingBlack and Scholes formulathe Greek letters

Mathematics Subject Classification ID

Linear programming (90C05)

Related Items

Options strategies for international portfolios with overall risk management via multi-stage stochastic programming

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option strategies with linear programming
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