Solving for optimal futures and options positions using a simulation‐optimization technique

Li‐Fen ‐F Lei; Donald Liu; Arne Hallam

doi:10.1002/fut.3990150504

Solving for optimal futures and options positions using a simulation‐optimization technique

Li‐Fen ‐F Lei, Donald Liu, Arne Hallam

Research output: Contribution to journal › Article › peer-review

Original language	English (US)
Pages (from-to)	559-571
Number of pages	13
Journal	Journal of Futures Markets
Volume	15
Issue number	5
DOIs	https://doi.org/10.1002/fut.3990150504
State	Published - Aug 1995
Externally published	Yes

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10.1002/fut.3990150504

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@article{018ceedd5c754c78a1cdbe27dce2df26,

title = "Solving for optimal futures and options positions using a simulation‐optimization technique",

author = "Lei, {Li‐Fen ‐F} and Donald Liu and Arne Hallam",

year = "1995",

month = aug,

doi = "10.1002/fut.3990150504",

language = "English (US)",

volume = "15",

pages = "559--571",

journal = "Journal of Futures Markets",

issn = "0270-7314",

publisher = "Wiley-Liss Inc.",

number = "5",

}

TY - JOUR

T1 - Solving for optimal futures and options positions using a simulation‐optimization technique

AU - Lei, Li‐Fen ‐F

AU - Liu, Donald

AU - Hallam, Arne

PY - 1995/8

Y1 - 1995/8

UR - http://www.scopus.com/inward/record.url?scp=84978564733&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84978564733&partnerID=8YFLogxK

U2 - 10.1002/fut.3990150504

DO - 10.1002/fut.3990150504

M3 - Article

AN - SCOPUS:84978564733

SN - 0270-7314

VL - 15

SP - 559

EP - 571

JO - Journal of Futures Markets

JF - Journal of Futures Markets

IS - 5

ER -

Solving for optimal futures and options positions using a simulation‐optimization technique

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