Active hedging Greeks of an options portfolio integrating churning and minimization of cost of hedging using quadratic & linear programming
Pankaj Sinha, Akshay Gupta and Hemant Mudgal
| Year of publication: |
2010
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|---|---|
| Authors: | Sinha, Pankaj ; Gupta, Akshay ; Mudgal, Hemant |
| Published in: |
The journal of prediction markets. - Buckingham : Univ. of Buckingham Press, ISSN 1750-6751, ZDB-ID 2388613-4. - Vol. 4.2010, 2, p. 1-14
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| Subject: | Hedging | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Griechenland | Greece | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008856708