4 search results - page 1 / 1 » Hedging strategy for a portfolio of options and stocks with ... |
AMC
2008
13 years 4 months ago
2008
This paper extends the model proposed by Papahristodoulou [C. Papahristodoulou, Option strategies with linear programming, European Journal of Operational Research 157 (2004) 246
IOR
2006
13 years 4 months ago
2006
The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice ...
FS
2010
13 years 3 months ago
2010
Following the framework of C¸etin, Jarrow and Protter [4] we study the problem of super-replication in presence of liquidity costs under additional restrictions on the gamma of th...
GECCO
2009
Springer
13 years 2 months ago
2009
Springer
We provide an overview of using genetic programming (GP) to model stock returns. Our models employ GP terminals (model decision variables) that are financial factors identified by...