LOCALLY OPTIMUM TRADING POSITIONS IN MARKET MEASURE

摘要

ABSTRACT LOCALLY OPTIMUM TRADING POSITIONS IN MARKET MEASURE A trading position evaluation system (102) for evaluating trading positions that are locally optimum in a market measure includes an option price determination module (216) configured to determine at a trading time instance amongst a plurality of trading time instances obtained from a trader, a scaled option price and a shifted scaled option price of an underlying asset of a European Contingent Claim (ECC) based on ECC data (110) and market data (114). The ECC data (110) comprises data associated with the ECC and the underlying asset of the ECC, and the market data (114) comprises annualized rate of return and annualized volatility of the underlying asset, and interest rate of market. Based on the scaled option price and the shifted scaled option price, a position evaluation module (116) evaluates a trading position at the trading time instance that minimizes local variance of profit and loss to the trader. To be published with Fig. 2