A Model for Optimizing Options and Futures

DOI10.1111/J.1475-3995.1995.TB00031.XMaRDI QIDQ4884100zbMATH OpenOpenAlexFDO

Authors R. W. Murtagh, Bruce A. Murtagh

Publication date 13 October 1996

Published in International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1475-3995.1995.tb00031.x

zbMATH Keywords

exchange ratefinanceforeign currency debtinvestment analysisnonlinear integer stochastic programmingoptions

Mathematics Subject Classification ID

Integer programming (90C10) Stochastic programming (90C15) Applications of mathematical programming (90C90)

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Cites work

• The pricing of options and corporate liabilities

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