"An integer programming based strategy for Asian-style futures arbitrage ..."

Raymond H. Chan, Kelvin K. Kan, Alfred K. Ma (2018)

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DOI: 10.3233/AF-180219

access: closed

type: Journal Article

metadata version: 2018-06-26

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Raymond H. Chan, Kelvin K. Kan, Alfred K. Ma:
An integer programming based strategy for Asian-style futures arbitrage over the settlement period. Algorithmic Finance 7(1-2): 31-42 (2018)

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