A Fuzzy LP Approach to Option Portfolio
Key words: Ranking Criterion; Option portfolio; Fuzzy Linear Programming; Delta-Gamma Neutral
C.Papahristodoulou (2004), Option Strategies with Linear Programming. European Journal of Operational Research, 157, 246–256.
R.J.Rendleman (1995), An LP Approach to Option Portfolio Selection. Advances in Futures and Options Research, 8, 31–52.
M.Horasanli(2008), Hedging Strategy for Portfolio of Options and Stocks eith Linear Programming. Applied Mathematics and Computation, 199, 804-810.
Bollen,P.B.N.,Rasiel,E (2003), The Performance of Alternative Valuation Models in the OTC Currency Options Market. Journal of International Money and Finance, 22, 33-64.
D. Dubois, H. Prade(1983). Ranking Fuzzy Numbers in the Setting of Possibility Theory. Inform. Sci., 30 (3), 183-224.
D. Dubois, H (1980). Prade Systems of Linear Fuzzy Constraints. Fuzzy Sets and Systems, 3(1), 37-48.
- There are currently no refbacks.
If you have already registered in Journal A and plan to submit article(s) to Journal B, please click the CATEGORIES, or JOURNALS A-Z on the right side of the "HOME".
We only use three mailboxes as follows to deal with issues about paper acceptance, payment and submission of electronic versions of our journals to databases:
email@example.com; firstname.lastname@example.org; email@example.com
Copyright © 2010 Canadian Research & Development Centre of Sciences and Cultures
Address: 9375 Rue de Roissy Brossard, Québec, J4X 3A1, Canada
Telephone: 1-514-558 6138