OPTION SPREAD TRADING STRATEGIES : SHORT POSITION ANALYSIS

OPTION SPREAD TRADING STRATEGIES : SHORT POSITION ANALYSIS

Option is one of the nancial instruments which can be organized in the portfolio becoming an option strategy. In this nal project will be discussed ve options strategy called the options spread from the seller's point of view. Of each strategy will be determined the optimum strike price and...

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Main Author: Aini, Mutiara
Format: Final Project
Language:Indonesia
Subjects:
Matematika
Online Access:https://digilib.itb.ac.id/gdl/view/34025
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Institution: Institut Teknologi Bandung
Language: Indonesia
id id-itb.:34025
spelling id-itb.:340252019-02-01T13:41:24ZOPTION SPREAD TRADING STRATEGIES : SHORT POSITION ANALYSIS Aini, Mutiara Matematika Indonesia Final Project Option Strategies, Value at Risk, Conditional Value at Risk, "Non- dominated Sorting Genetic Algorithm: NSGA II" INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/34025 Option is one of the nancial instruments which can be organized in the portfolio becoming an option strategy. In this nal project will be discussed ve options strategy called the options spread from the seller's point of view. Of each strategy will be determined the optimum strike price and strike date by using the "Non- dominated Sorting Genetic Algorithm: NSGA II" so the combination used in option strategy will maximize the prots and minimize the risks. Prot measuring method used is the average prot and risk measuring method used is Conditional Value at Risk. The Risks Value obtained from this combination can be used as a reference for the seller to see how big the losses suered from each sold option strategy. So sellers can anticipate the losses. 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
Aini, Mutiara
OPTION SPREAD TRADING STRATEGIES : SHORT POSITION ANALYSIS
description Option is one of the nancial instruments which can be organized in the portfolio becoming an option strategy. In this nal project will be discussed ve options strategy called the options spread from the seller's point of view. Of each strategy will be determined the optimum strike price and strike date by using the "Non- dominated Sorting Genetic Algorithm: NSGA II" so the combination used in option strategy will maximize the prots and minimize the risks. Prot measuring method used is the average prot and risk measuring method used is Conditional Value at Risk. The Risks Value obtained from this combination can be used as a reference for the seller to see how big the losses suered from each sold option strategy. So sellers can anticipate the losses.
format Final Project
author Aini, Mutiara
author_facet Aini, Mutiara
author_sort Aini, Mutiara
title OPTION SPREAD TRADING STRATEGIES : SHORT POSITION ANALYSIS
title_short OPTION SPREAD TRADING STRATEGIES : SHORT POSITION ANALYSIS
title_full OPTION SPREAD TRADING STRATEGIES : SHORT POSITION ANALYSIS
title_fullStr OPTION SPREAD TRADING STRATEGIES : SHORT POSITION ANALYSIS
title_full_unstemmed OPTION SPREAD TRADING STRATEGIES : SHORT POSITION ANALYSIS
title_sort option spread trading strategies : short position analysis
url https://digilib.itb.ac.id/gdl/view/34025
_version_ 1822924148768243712

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