Edward G. Coffman Jr., Dmytro Matsypura, Vadim G. Timkovsky. A Computational Study of Margining Portfolios of Options by Two Approaches. In Sushil K. Prasad, Harrick M. Vin, Sartaj Sahni, Mahadeo Jaiswal, Bundit Thipakorn, editors, Information Systems, Technology and Management - 4th International Conference, ICISTM 2010, Bangkok, Thailand, March 11-13, 2010. Proceedings. Volume 54 of Communications in Computer and Information Science, pages 325-332, Springer, 2010. [doi]
Abstract is missing.