Integer programs for margining option portfolios by option spreads with more than four legs (Q744225)
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scientific article; zbMATH DE number 6351724
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Integer programs for margining option portfolios by option spreads with more than four legs |
scientific article; zbMATH DE number 6351724 |
Statements
Integer programs for margining option portfolios by option spreads with more than four legs (English)
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6 October 2014
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arbitrage
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homomorphism
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margin
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option
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spread
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0.6858332753181458
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0.6628866195678711
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0.6548137068748474
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0.6497388482093811
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0.6486870050430298
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