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Locally optimum trading positions for path-dependent options
Locally optimum trading positions for path-dependent options
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机译:基于路径的期权的本地最佳交易头寸
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#$%^&*AU2014208285A120150924.pdf#####ABSTRACT A trading position evaluation system for evaluating trading positions that are locally optimum for a path-dependent European Contingent Claims (ECC) includes an option price determination module to determine a scaled option price and a shifted scaled option price of the path-dependent ECC based on ECC data and market data, retrieved from a database. The scaled option price and the shifted scaled option price are determined at a trading time instance, selected from amongst a plurality of trading time instances obtained from a trader, based on at least one discrete-monitoring time instance occurring before the trading time instance. Based on the scaled option price and the shifted scaled option price, a position evaluation module evaluates a trading position in an underlying asset of the path-dependent ECC at the trading time instance that minimizes local variance of profit and loss to the trader. To be published with Figure 11/2 100 TRADING POSITION EVALUATION SYSTEM 102 PROCESSORS) INTERFACESS) MEMORY114 MODULE(S) 116 104-3 MARKET PARAMETER COMPUTATION MODULE 120 INTEREST RATE CALCULATION MODULE 122 102 OPTION PRICE DETERMINATION MODULE 124 POSITION EVALUATION MODULE 1 NETWORK OTHER MODULE(S) 128 DATA 118 104-2 104-1 ECC DATA 130 HISTORICAL DATA 132 MARKET DATA 134 PARAMETER DATA 136 OTHER DATA 138 Figure 1
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