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Option Strategies with linear programming
Mälardalen University, School of Business.ORCID iD: 0000-0002-1545-3956
2004 (English)In: European Journal of Operational research, ISSN 0377-2217, Vol. 157, no 1, p. 246-256Article in journal (Refereed) 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.

Place, publisher, year, edition, pages
2004. Vol. 157, no 1, p. 246-256
Keywords [en]
Finance, option portfolios, Linear programming
National Category
Computational Mathematics Economics
Identifiers
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
Available from: 2007-10-03 Created: 2007-10-03 Last updated: 2015-07-06Bibliographically approved

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Papahristodoulou, Christos

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