Options Portfolio Selection

Abstract

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 assets. We identify the... [ view full abstract ]

Authors

  1. Eberhard Mayerhofer (University of Limerick)
  2. Paolo Guasoni (Dublin City University)

Topic Area

Options

Session

MO-A-UI » Simulation, Estimation and Approximation (11:30 - Monday, 16th July, Ui Chadhain)

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