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Option Strategies with linear programming
Mälardalens högskola, Ekonomihögskolan.ORCID-id: 0000-0002-1545-3956
2004 (engelsk)Inngår i: European Journal of Operational research, ISSN 0377-2217, Vol. 157, nr 1, s. 246-256Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

In practice, all option strategies are decided in advance, given the investor’s belief of the stock price. In this paper, instead of deciding in advance the most appropriate hedging option strategy, an LP problem is formulated, by considering all significant Greek parameters of the Black-Scholes formula, such as delta, gamma, theta, rho and kappa. The optimal strategy to select will be simply decided by the solution of that model. The LP model is applied to Ericsson’s call and puts options.

sted, utgiver, år, opplag, sider
2004. Vol. 157, nr 1, s. 246-256
Emneord [en]
Finance, option portfolios, Linear programming
HSV kategori
Identifikatorer
URN: urn:nbn:se:mdh:diva-3755DOI: 10.1016/S0377-2217(03)00235-2ISI: 000220945500022Scopus ID: 2-s2.0-1842478886OAI: oai:DiVA.org:mdh-3755DiVA, id: diva2:116419
Tilgjengelig fra: 2007-10-03 Laget: 2007-10-03 Sist oppdatert: 2015-07-06bibliografisk kontrollert

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