Option strategies with linear programming

被引：11

作者：

Papahristodoulou, C ^{[1
]}

机构：

[1] Malardalen Univ, Dept Business Studies & Informat, S-72128 Vasteras, Sweden

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2004年 / 157卷 / 01期

关键词：

finance; option portfolios; linear programming;

D O I：

10.1016/S0377-2217(03)00235-2

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

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. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：246 / 256

页数：11