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An algebra for evaluating hedge portfolios

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  • Garman, Mark B.

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  • Garman, Mark B., 1976. "An algebra for evaluating hedge portfolios," Journal of Financial Economics, Elsevier, vol. 3(4), pages 403-427, October.
    • Handle: RePEc:eee:jfinec:v:3:y:1976:i:4:p:403-427
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    Cited by:

    1. Gaia Barone, 2008. "Arbitrages and Arrow-Debreu Prices," Rivista di Politica Economica, SIPI Spa, vol. 98(6), pages 43-78, November-.
    2. John Board & Charles Sutcliffe & William T. Ziemba, 2003. "Applying Operations Research Techniques to Financial Markets," Interfaces, INFORMS, vol. 33(2), pages 12-24, April.
    3. Ryan, Peter J., 2003. "Progressive option bounds from the sequence of concurrently expiring options," European Journal of Operational Research, Elsevier, vol. 151(1), pages 193-223, November.
    4. Milevsky, Moshe Arye & Prisman, Eliezer Z., 1999. "Hedging and pricing with tax law uncertainty: Managing under an Arkansas Best doctrine," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 147-168.
    5. Bergman, Yaacov & Callen, Jeffrey L., 1995. "Rational deviations from absolute priority rules," International Review of Financial Analysis, Elsevier, vol. 4(1), pages 1-18.
    6. Selby, Michael J. P., 2000. "Computational Aspects of Complex Securities," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1491-1497, October.
    7. Balbás, Alejandro & Longarela, Iñaki R. & Lucia, Julio J., 1999. "How does financial theory apply to catastrophe-linked derivatives? En empirical test of several princing models," DEE - Working Papers. Business Economics. WB 6521, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    8. Fackler, Paul L. & King, Robert P., 1987. "The Evaluation of Probability Distributions with Special Emphasis on Price Distributions Derived from Option Premiums," Regional Research Projects > 1987: S-180 Annual Meeting, March 22-25, 1987, San Antonio, Texas 272343, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
    9. Peter Ryan, 2000. "Tighter Option Bounds from Multiple Exercise Prices," Review of Derivatives Research, Springer, vol. 4(2), pages 155-188, May.

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