Hedging Greeks for a Portfolio of Options Using Linear and Quadratic Programming

Pankaj Sinha and Archit Johar

Journal of Prediction Markets, 2010, vol. 4, issue 1, 17-26

Abstract: The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, vega and gamma neutral by taking positions in other available options, and simultaneously minimizing the net premium to be paid for the hedging. A quadratic programming solution for the problem is formulated, and then it is approximated to a linear programming solution. A prototype for the linear programming solution has been developed in MS Excel using VBA.

Date: 2010
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Working Paper: Hedging Greeks for a portfolio of options using linear and quadratic programming (2010)
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