The Calculation of Minimum Margin

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.

• 저널Management Science · 28(12) · 1368–1379
• 토픽Capital Investment and Risk Analysis · Finance
• DOI10.1287/mnsc.28.12.1368
• 저자Andrew Rudd, Mark Schroeder