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Margin Calculation of Multi-Le...
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1
The impact of portfolio re-financing on Black-Scholes call option valuation
Versluis, Cokki
;
Hillegers, Tom
- In:
Applied financial economics letters
2
(
2006
)
4
,
pp. 261-263
Persistent link: https://www.econbiz.de/10003351951
Saved in:
2
An introduction to derivatives and risk management
Chance, Don M.
;
Brooks, Robert
-
2016
-
10. ed.
Persistent link: https://www.econbiz.de/10011381328
Saved in:
3
A generalized approach to optimal hedging with option contracts
Bajo, Emanuele
;
Barbi, Massimiliano
;
Romagnoli, Silvia
- In:
The European journal of finance
21
(
2015
)
7/9
,
pp. 714-733
Persistent link: https://www.econbiz.de/10011302047
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4
Integer programs for margining option portfolios by option spreads with more than four legs
Matsypura, Dmytro
;
Timkovsky, V. G.
- In:
Computational Management Science : CMS
10
(
2013
)
1
,
pp. 51-76
Persistent link: https://www.econbiz.de/10009713809
Saved in:
5
A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda
;
Yu, Lean
- In:
Economic modelling
35
(
2013
),
pp. 796-804
Persistent link: https://www.econbiz.de/10010336666
Saved in:
6
On the use of the moment-matching technique for pricing and hedging multi-asset spread options
Pellegrino, Tommaso
;
Sabino, Piergiacomo
- In:
Energy economics
45
(
2014
),
pp. 172-185
Persistent link: https://www.econbiz.de/10010504771
Saved in:
7
An introduction to derivatives and risk management
Chance, Don M.
;
Brooks, Robert
-
2007
-
7. ed., internat. student ed.
Persistent link: https://www.econbiz.de/10003399203
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8
Quantity-adjusting options and forward contracts
Babbel, David F.
;
Eisenberg, Laurence K.
-
1991
Persistent link: https://www.econbiz.de/10001613489
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9
An introduction to derivatives and risk management
Chance, Don M.
-
2004
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6. ed., internat. student ed.
Persistent link: https://www.econbiz.de/10001786590
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10
Hedging options
Chen, Nai-fu
;
Johnson, Herb
- In:
Journal of financial economics
14
(
1985
)
2
,
pp. 317-321
Persistent link: https://www.econbiz.de/10001999356
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