An integer programming based strategy for Asian-style futures arbitrage over the settlement period

DOI10.3233/AF-180219MaRDI QIDQ4586462zbMATH OpenWikidataFDO

Authors Kelvin K. Kan, Alfred Ka Chun Ma, Raymond H. Chan

Publication date 13 September 2018

Published in Algorithmic Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3233/AF-180219

zbMATH Keywords

arbitrageAsian-style futuresAsian-style settlement procedureexpiration dayinteger programming

Mathematics Subject Classification ID

Integer programming (90C10) Derivative securities (option pricing, hedging, etc.) (91G20)

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