Basket problems in margin calculation: modelling and algorithms.

DOI10.1016/S0377-2217(99)00420-8MaRDI QIDQ5925945zbMATH OpenOpenAlexFDO

Authors Alexander E. Fiterman, Vadim G. Timkovsky

Publication date 5 July 2001

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0377-2217(99)00420-8

zbMATH Keywords

BasketHedgingMarginModellingPortfolio

Mathematics Subject Classification ID

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Cited in

(1)

• Integer programs for margining option portfolios by option spreads with more than four legs

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