Integer programs for margining option portfolios by option spreads with more than four legs
D. Matsypura; V. G. Timkovsky
| Year of publication: |
2013
|
|---|---|
| Authors: | Matsypura, Dmytro ; Timkovsky, V. G. |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 10.2013, 1, p. 51-76
|
| Subject: | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Derivat | Derivative |
| Extent: | graph. Darst. |
|---|---|
| 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/10009713809