Optimal option portfolio selection with simulation techniques

• Main Author: Liu, Bingyan
• Other Authors: PUN Chi Seng
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2020
• Subjects: Science::Mathematics::Applied mathematics::Simulation and modeling; Science::Mathematics::Applied mathematics::Optimization
• Online Access: https://hdl.handle.net/10356/139429
• Institution: Nanyang Technological University

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...