An Algorithm to Calculate the Return Distribution of Portfolios with Option Positions
From MaRDI portal
Publication:3657717
DOI10.1287/mnsc.29.4.419zbMath0512.90011MaRDI QIDQ3657717
Roger Clarke, Richard Bookstaber
Publication date: 1983
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.29.4.419
algorithm; finance; simulation tests; optimal investment; finite time horizon; calculations of return distribution of stock portfolios
90B99: Operations research and management science
65C99: Probabilistic methods, stochastic differential equations
Related Items