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Technical Note—Options Portfolio Selection
Operations Research ( IF 2.2 ) Pub Date : 2020-05-01 , DOI: 10.1287/opre.2019.1925
Paolo Guasoni 1, 2 , Eberhard Mayerhofer 3
Affiliation  

We develop a new method to optimize portfolios of options in a market where European calls and puts are available with many exercise prices for each of several potentially correlated underlying ass...

中文翻译:

技术说明—期权组合选择

我们开发了一种新方法来优化市场中的期权组合,在该市场中可以使用欧洲看涨期权和看跌期权的价格并为多个潜在相关基础资产中的每一个提供许多行权价...
更新日期:2020-05-01
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