Option strategies with linear programming

DOI10.1016/S0377-2217(03)00235-2MaRDI QIDQ1877041zbMATH OpenFDO

Authors Christos Papahristodoulou

Publication date 16 August 2004

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

Full work available at URL https://doi.org/10.1016/S0377-2217(03)00235-2

zbMATH Keywords

FinanceLinear programmingOption portfolios

Mathematics Subject Classification ID

Linear programming (90C05)

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• The pricing of options and corporate liabilities

Cited in

(7)

• Options strategies with the risk adjustment
• Optimization of covered call strategies
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• Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
• Option overlay strategies
• An expert decision-support system for option-based investment strategies
• Hedging strategy for a portfolio of options and stocks with linear programming

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