Globally optimum trading positions for path-dependent options

摘要

A trading position evaluation system (102) for evaluating trading positions that are globally optimum for a path-dependent European Contingent Claims (ECC) includes an option price determination module (216) configured to determine a current option price and a shifted option price of the path-dependent ECC based on ECC data (110) and market data (114). The current option price and the shifted 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 current option price and the shifted option price, a position evaluation module (116) evaluates a trading position in an underlying asset of the path-dependent ECC at the trading time instance that minimizes global variance of profit and loss to the trader.