Hedging strategy for a portfolio of options and stocks with linear programming-Reference-Cited by-同舟云学术

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

Published:2008-06 Issue:2 Volume:199 Page:804-810
ISSN:0096-3003
Container-title:Applied Mathematics and Computation
language:en
Short-container-title:Applied Mathematics and Computation

Author:

Horasanlı Mehmet

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference7 articles.

1. Financial Calculus: An Introduction to Derivative Pricing;Baxter,2003

2. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

3. Options Futures and Other Derivatives;Hull,2003

4. Option strategies with linear programming;Papahristodoulou;European Journal of Operational Research,2004

5. An LP approach to option portfolio selection;Rendleman;Advances in Futures and Options Research,1995

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Risk minimisation using options and risky assets;Operational Research;2020-04-11

2. Applying Greek letters to robust option price modeling by binomial-tree;Physica A: Statistical Mechanics and its Applications;2018-08

3. Hedging an option portfolio with minimum transaction lots: A fuzzy goal programming problem;Applied Soft Computing;2016-10

4. Robust Portfolio Optimization with Options under VE Constraint using Monte Carlo;Journal of Computers;2013-06-01

5. Options strategies for international portfolios with overall risk management via multi-stage stochastic programming;Annals of Operations Research;2013-04-19

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