The Calculation of Minimum Margin
Management Science · 1982 · Volume 28 · Issue 12
Abstract
The calculation of margin for investor's option accounts is a complex and costly problem for brokerage houses. The existing procedures usually involve a heuristic requiring sequential computations. These are shown to be inefficient and suboptimal. A simple transportation formulation is presented which permits a direct computation of minimum margin and shows considerable savings when compared with existing heuristic procedures.
Keywords
investment management, finance, options
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