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-domin...

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Main Author: Putri Nabilla, Amanda
Format: Final Project
Language:Indonesia
Subjects:
Matematika
Online Access:https://digilib.itb.ac.id/gdl/view/34010
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Institution: Institut Teknologi Bandung
Language: Indonesia
id id-itb.:34010
spelling id-itb.:340102019-02-01T10:18:40ZOPTIONS SPREAD TRADING STRATEGIES: LONG POSITION ANALYSIS Putri Nabilla, Amanda Matematika Indonesia Final Project options spread, value at risk, conditional value at risk, Monte Carlo simulation, Non-dominated Sorting Genetic Algorithm II INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/34010 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. 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
topic Matematika
spellingShingle Matematika
Putri Nabilla, Amanda
OPTIONS SPREAD TRADING STRATEGIES: LONG POSITION ANALYSIS
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 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.
format Final Project
author Putri Nabilla, Amanda
author_facet Putri Nabilla, Amanda
author_sort Putri Nabilla, 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/34010
_version_ 1822924144492150784

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