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

DOI10.1007/S10287-012-0159-XMaRDI QIDQ744225zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

spreadhomomorphismarbitrageoptionmargin

Mathematics Subject Classification ID

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

Recommendations

• Counter-cyclical margins for option portfolios
• Basket problems in margin calculation: modelling and algorithms.
• Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
• Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach
• Option pricing by mathematical programming†

Cited in

(1)

• Counter-cyclical margins for option portfolios

This page was built for publication: Integer programs for margining option portfolios by option spreads with more than four legs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q744225)