Active Hedging Greeks of an Options Portfolio integrating churning and minimization of cost of hedging using Quadratic & Linear Programing
Year of publication: |
2010-10-02
|
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Authors: | Sinha, Pankaj ; Gupta, Akshay ; Mudgal, Hemant |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Options Portfolio | Hedging Greeks | Churning of Portfolio | Linear Programing | Transaction Cost |
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