Hedging Greeks for a portfolio of options using linear and quadratic programming

The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, vega and gamma neutral by taking positions in other available options, and simultaneously minimizing the net premium to be paid for the hedging. A quadratic programming solution for the problem is formulated, and then it is approximated to a linear programming solution. A prototype for the linear programming solution has been developed in MS Excel using VBA.

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Year of publication:	2010-02-15
Authors:	Sinha, Pankaj ; Johar, Archit

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Sinha, Pankaj and Johar, Archit (2010): Hedging Greeks for a portfolio of options using linear and quadratic programming.
Classification:	G11 - Portfolio Choice ; C00 - Mathematical and Quantitative Methods. General ; C63 - Computational Techniques ; C88 - Other Computer Software ; G00 - Financial Economics. General ; C10 - Econometric and Statistical Methods: General. General ; C44 - Statistical Decision Theory; Operations Research ; C02 - Mathematical Methods ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	BASE

Persistent link: https://www.econbiz.de/10015220452