Integer programs for margining option portfolios by option spreads with more than four legs
Year of publication: |
2013
|
---|---|
Authors: | Matsypura, D. ; Timkovsky, V.G. |
Published in: |
Computational Management Science. - Springer. - Vol. 10.2013, 1, p. 51-76
|
Publisher: |
Springer |
Subject: | Arbitrage | Homomorphism | Margin | Option | Spread |
-
Credit Spread Specification and the Pricing of Spread Options
Mougeot, Nicolas, (2000)
-
Equity and index options explained
Beagles, W. A., (2009)
-
The profitability of pair trading strategy in stock markets : evidence from Toronto stock exchange
Haddad, GholamReza Keshavarz, (2023)
- More ...
-
Combinatorics of Option Spreads: The Margining Aspect
Matsypura, D., (2010)
-
Portfolio Margining: Strategy vs Risk
E.G. Coffman, JR, (2010)
-
Margining Option Portfolios by Network Flows
Matsypura, D., (2010)
- More ...