Margining option portfolios by network flows
نویسندگان
چکیده
منابع مشابه
OME WORKING PAPER SERIES Margining Option Portfolios by Network Flows
As shown in [Rudd and Schroeder, 1982], the problem of margining option portfolios where option spreads with two legs are used for offsetting can be solved in polynomial time by network flow algorithms. However, spreads with only two legs do not provide sufficient accuracy in measuring risk. Therefore, margining practice also employs spreads with three and four legs. A polynomial time solution ...
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ژورنال
عنوان ژورنال: Networks
سال: 2011
ISSN: 0028-3045
DOI: 10.1002/net.20465