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 23886134. - Vol. 4.2010, 2, p. 1-14
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| Type of publication: | Article |
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| Language: | English |
| Source: |
Persistent link: https://www.econbiz.de/10009931747