Option Strategies with linear programming
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References listed on IDEAS
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
- Pankaj Sinha & Akshay Gupta & Hemant Mudgal, 2010.
"Active Hedging Greeks of an Options Portfolio Integrating Churning and Minimization of Cost of Hedging Using Quadratic & Linear Programing,"
Journal of Prediction Markets,
University of Buckingham Press, vol. 4(2), pages 1-14, September.
- 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.
- repec:eee:phsmap:v:503:y:2018:i:c:p:632-639 is not listed on IDEAS
- Gao, Pei-wang, 2009. "Options strategies with the risk adjustment," European Journal of Operational Research, Elsevier, vol. 192(3), pages 975-980, February.
More about this item
KeywordsFinance; option portfolios; Linear programming;
- G - Financial Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-05-07 (All new papers)
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