Active Hedging Greeks of an Options Portfolio Integrating Churning and Minimization of Cost of Hedging Using Quadratic & Linear Programing
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- Sinha, Pankaj & Gupta, Akshay & Mudgal, Hemant, 2010. "Active Hedging Greeks of an Options Portfolio integrating churning and minimization of cost of hedging using Quadratic & Linear Programing," MPRA Paper 25707, University Library of Munich, Germany.
References listed on IDEAS
- Pankaj Sinha & Archit Johar, 2010.
"Hedging Greeks for a Portfolio of Options Using Linear and Quadratic Programming,"
Journal of Prediction Markets,
University of Buckingham Press, vol. 4(1), pages 17-26, May.
- Sinha, Pankaj & Johar, Archit, 2010. "Hedging Greeks for a portfolio of options using linear and quadratic programming," MPRA Paper 20834, University Library of Munich, Germany.
- Papahristodoulou, Christos, 2004. "Option strategies with linear programming," European Journal of Operational Research, Elsevier, vol. 157(1), pages 246-256, August.
More about this item
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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