Optimal option portfolio selection with simulation techniques
We propose a method to solve the problem of asset allocation for option portfolios using simulations. Our method improved the OOPS(Optimal option portfolio strategies) proposed by Jose and Santa. We apply a simulation method based on Heston volatility model and optimization method based on utility m...
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| Format: | Final Year Project |
| Language: | English |
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Nanyang Technological University
2020
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| Online Access: | https://hdl.handle.net/10356/139429 |
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| Institution: | Nanyang Technological University |
| Language: | English |