Integer programs for margining option portfolios by option spreads with more than four legs.

Dmytro Matsypura Vadim G. Timkovsky Integer programs for margining option portfolios by option spreads with more than four legs. 51-76 2013 10 Comput. Manag. Sci. 1 https://doi.org/10.1007/s10287-012-0159-x db/journals/cms/cms10.html#MatsypuraT13