In this blog post series, we will present an analysis based on a combinatorial optimization approach to address the problem of margin minimization of an option portfolio. In this first post we will describe in detail the general context in which the problem is inserted and the various techniques which in principle can be used to solve this kind of issues.

In this second and last episode of the series we will propose a combinatorial optimization model to heuristically solve the margin minimization issue applied to a portfolio of options.