OPTIONS SPREAD TRADING STRATEGIES: LONG POSITION ANALYSIS

OPTIONS SPREAD TRADING STRATEGIES: LONG POSITION ANALYSIS

Options trading can involve more that one option called options spread. In trading, long position traders expect a relatively high return with low risk exposure. Optimal strike price and strike date to buy an options spread can be determined using a multi objective optimization method: Non-dominated...

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Main Author: PUTRI NABILLA (NIM: 10112046), AMANDA
Format: Final Project
Language:Indonesia
Online Access:https://digilib.itb.ac.id/gdl/view/19862
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Institution: Institut Teknologi Bandung
Language: Indonesia
id id-itb.:19862
spelling id-itb.:198622017-09-27T11:43:13ZOPTIONS SPREAD TRADING STRATEGIES: LONG POSITION ANALYSIS PUTRI NABILLA (NIM: 10112046), AMANDA Indonesia Final Project INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/19862 Options trading can involve more that one option called options spread. In trading, long position traders expect a relatively high return with low risk exposure. Optimal strike price and strike date to buy an options spread can be determined using a multi objective optimization method: Non-dominated Sorting Genetic Algorithm II which in this final report is used to maximize mean yield rate and minimize CoVaR for each of five given options spreads. Three different economic situations are assumed that by the end of optimiziation can be analyzed how each options spread reacts to the change of economy, and also the best options spread for each economic situation. text
institution Institut Teknologi Bandung
building Institut Teknologi Bandung Library
continent Asia
country Indonesia
Indonesia
content_provider Institut Teknologi Bandung
collection Digital ITB
language Indonesia
description Options trading can involve more that one option called options spread. In trading, long position traders expect a relatively high return with low risk exposure. Optimal strike price and strike date to buy an options spread can be determined using a multi objective optimization method: Non-dominated Sorting Genetic Algorithm II which in this final report is used to maximize mean yield rate and minimize CoVaR for each of five given options spreads. Three different economic situations are assumed that by the end of optimiziation can be analyzed how each options spread reacts to the change of economy, and also the best options spread for each economic situation.
format Final Project
author PUTRI NABILLA (NIM: 10112046), AMANDA
spellingShingle PUTRI NABILLA (NIM: 10112046), AMANDA
OPTIONS SPREAD TRADING STRATEGIES: LONG POSITION ANALYSIS
author_facet PUTRI NABILLA (NIM: 10112046), AMANDA
author_sort PUTRI NABILLA (NIM: 10112046), AMANDA
title OPTIONS SPREAD TRADING STRATEGIES: LONG POSITION ANALYSIS
title_short OPTIONS SPREAD TRADING STRATEGIES: LONG POSITION ANALYSIS
title_full OPTIONS SPREAD TRADING STRATEGIES: LONG POSITION ANALYSIS
title_fullStr OPTIONS SPREAD TRADING STRATEGIES: LONG POSITION ANALYSIS
title_full_unstemmed OPTIONS SPREAD TRADING STRATEGIES: LONG POSITION ANALYSIS
title_sort options spread trading strategies: long position analysis
url https://digilib.itb.ac.id/gdl/view/19862
_version_ 1821119972880941056

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