"Integer programs for margining option portfolios by option spreads with ..."

Dmytro Matsypura, Vadim G. Timkovsky (2013)

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DOI: 10.1007/S10287-012-0159-X

access: closed

type: Journal Article

metadata version: 2020-05-10

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Dmytro Matsypura, Vadim G. Timkovsky:
Integer programs for margining option portfolios by option spreads with more than four legs. Comput. Manag. Sci. 10(1): 51-76 (2013)

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