Option strategies with linear programming

European Journal of Operational Research

Volumn 157, Issue 1, 2004, Pages 246-256

  Papahristodoulou, Christos ^a  

^a MÄLARDALEN UNIVERSITY   (Sweden)

Author keywords

Finance; Linear programming; Option portfolios

Indexed keywords

FINANCE; MATHEMATICAL MODELS; NORMAL DISTRIBUTION; PURCHASING; STRATEGIC PLANNING;

BLACK-SCHOLES FORMULA; OPTION PORTFOLIOS;

LINEAR PROGRAMMING;

EID: 1842478886     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(03)00235-2     Document Type: Conference Paper

References (8)

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