Integer programs for margining option portfolios by option spreads with more than four legs

DOI10.1007/S10287-012-0159-XzbMATH Open1296.91255OpenAlexW2066691318MaRDI QIDQ744225FDOQ744225

Authors: Dmytro Matsypura, Vadim G. Timkovsky 

Publication date: 6 October 2014

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-012-0159-x

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zbMATH Keywords

spreadhomomorphismarbitrageoptionmargin

Mathematics Subject Classification ID

Portfolio theory (91G10) Integer programming (90C10)

Cited In (1)

• Counter-cyclical margins for option portfolios

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