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

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AMC 2008 | Linear Programming | Linear Programming Model | Option Strategies |

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

AMC 2008 | Linear Programming | Linear Programming Model | Option Strategies |

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