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  • Search: subject:"Churning of Portfolio"
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Year of publication
Subject
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Churning of Portfolio 1 Hedging Greeks 1 Linear Programing 1 Options Portfolio 1 Transaction Cost 1
Online availability
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Free 1
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Gupta, Akshay 1 Mudgal, Hemant 1 Sinha, Pankaj 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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RePEc 1
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Active Hedging Greeks of an Options Portfolio integrating churning and minimization of cost of hedging using Quadratic & Linear Programing
Sinha, Pankaj; Gupta, Akshay; Mudgal, Hemant - Volkswirtschaftliche Fakultät, … - 2010
This paper proposes a methodology for active hedging Greeks of an option portfolio integrating churning and minimization of cost of hedging. In the first section, hedging strategy is implemented by taking positions in other available options, while simultaneously minimizing the net premium paid...
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