AN ALGORITHM TO CALCULATE THE RETURN DISTRIBUTION OF PORTFOLIOS WITH OPTION POSITIONS

被引：10

作者：

BOOKSTABER, R

CLARKE, R

机构：

来源：

MANAGEMENT SCIENCE | 1983年 / 29卷 / 04期

关键词：

D O I：

10.1287/mnsc.29.4.419

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

引用

页码：419 / 429

页数：11

共 17 条

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LEVY, H .

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[2] SPANNING THE STATE-SPACE WITH OPTIONS [J].

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[3]

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BLACK, F ;

SCHOLES, M .

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[5]

BOOKSTABER R, 1983, OPTION STRATEGIES I

[6]

BOOKSTABER R, 1981, J PORTFOLIO MANAGE, V7, P63, DOI DOI 10.3905/JPM.1981.408805

[7]

BREEDEN D, 1978, J BUS, V52, P621

[8] OPTIMAL PORTFOLIO INSURANCE [J].

BRENAN, MJ ;

SOLANKI, R .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1981, 16 (03) :279-300

[9] WELFARE ASPECTS OF OPTIONS AND SUPERSHARES [J].

HAKANSSON, NH .

JOURNAL OF FINANCE, 1978, 33 (03) :759-776

[10] SKEWNESS PREFERENCE AND VALUATION OF RISK ASSETS [J].

KRAUS, A ;

LITZENBERGER, RH .

JOURNAL OF FINANCE, 1976, 31 (04) :1085-1100

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