Dmytro Matsypura, Vadim G. Timkovsky. Integer programs for margining option portfolios by option spreads with more than four legs. Comput. Manag. Science, 10(1):51-76, 2013. [doi]
@article{MatsypuraT13,
title = {Integer programs for margining option portfolios by option spreads with more than four legs},
author = {Dmytro Matsypura and Vadim G. Timkovsky},
year = {2013},
doi = {10.1007/s10287-012-0159-x},
url = {https://doi.org/10.1007/s10287-012-0159-x},
researchr = {https://researchr.org/publication/MatsypuraT13},
cites = {0},
citedby = {0},
journal = {Comput. Manag. Science},
volume = {10},
number = {1},
pages = {51-76},
}