An LP approach to synthetic option replication with transaction costs and multiple security selection
Year of publication: |
1995
|
---|---|
Authors: | Dennis, Patrick |
Other Persons: | Rendleman, Richard J. (contributor) |
Published in: |
Advances in futures and options research : a research annual. - Stamford, Conn. : JAI Press, ISSN 1048-1559, ZDB-ID 1115175-4. - Vol. 8.1995, p. 53-84
|
Subject: | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Transaktionskosten | Transaction costs | Mathematische Optimierung | Mathematical programming | Theorie | Theory |
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