Integer programs for margining option portfolios by option spreads with more than four legs
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DOI: 10.1007/s10287-012-0159-x
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- Matsypura, Dmytro & Pauwels, Laurent L., 2016. "Does portfolio margining make borrowing more attractive?," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 128-134.
- CHEN, Yuanyuan & WU, Qi & LI, Duan, 2023. "Counter-cyclical Margins for Option Portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
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Keywords
Arbitrage; Homomorphism; Margin; Option; Spread;All these keywords.
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