The Calculation of Minimum Margin
针对券商计算投资者期权账户保证金的复杂问题，提出一种简单的运输模型，能直接算出最低保证金，比现有启发式方法更高效、更优。
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.