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Options strategies with the risk adjustment

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  • Gao, Pei-wang

Abstract

This paper proposes a general linear programming model with risk bounds on all the Greek letters for the portfolio and then performs a new post-optimality analysis for the model. In the analysis, the risks can be adjusted by the investor to suit the needs of the market change. The applications of the model and the method to Ericsson's options show that they are of practical interests.

Suggested Citation

  • Gao, Pei-wang, 2009. "Options strategies with the risk adjustment," European Journal of Operational Research, Elsevier, vol. 192(3), pages 975-980, February.
    • Handle: RePEc:eee:ejores:v:192:y:2009:i:3:p:975-980
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    References listed on IDEAS

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    1. Papahristodoulou, Christos, 2004. "Option strategies with linear programming," European Journal of Operational Research, Elsevier, vol. 157(1), pages 246-256, August.
    2. Wilmott,Paul & Howison,Sam & Dewynne,Jeff, 1995. "The Mathematics of Financial Derivatives," Cambridge Books, Cambridge University Press, number 9780521497893, January.
    3. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
    4. Jason Wu & Suvrajeet Sen, 2000. "A Stochastic Programming Model for Currency Option Hedging," Annals of Operations Research, Springer, vol. 100(1), pages 227-249, December.
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    Cited by:

    1. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    2. Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
    3. Xiaoxia Huang & Xuting Wang, 2019. "Portfolio Investment with Options Based on Uncertainty Theory," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 929-952, May.
    4. Ghafarian, Bahareh & Hanafizadeh, Payam & Qahi, Amir Hossein Mortazavi, 2018. "Applying Greek letters to robust option price modeling by binomial-tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 632-639.

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