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-domin...
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| Format: | Final Project |
| Language: | Indonesia |
| Subjects: | |
| Online Access: | https://digilib.itb.ac.id/gdl/view/34010 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | 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 nal report is used to maximize mean yield rate and minimize CoVaR for
each of ve given options spreads. Three dierent 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. |
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