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    Hedging strategy for a portfolio of options and stocks with linear programming

    13 years 4 months ago
    Hedging strategy for a portfolio of options and stocks with linear programming
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    This paper extends the model proposed by Papahristodoulou [C. Papahristodoulou, Option strategies with linear programming, European Journal of Operational Research 157 (2004) 246
    Mehmet Horasanli
    claim paper
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    Added 08 Dec 2010
    Updated 08 Dec 2010
    Type Journal
    Year 2008
    Where AMC
    Authors Mehmet Horasanli
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