GLOBALLY OPTIMUM TRADING POSITIONS IN RISK-NEUTRAL MEASURE

摘要

A trading position evaluation system (102) for evaluating trading positions that are globally optimum in a risk-neutral measure includes an option price determination module (216) configured to determine a current option price and a shifted option price of an underlying asset of a European Contingent Claim (ECC) at a trading time instance amongst a plurality of trading time instances obtained from a trader 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 volatility of the underlying asset and risk-free interest rate of market. Based on the current option price and the shifted option price a position evaluation module (116) evaluates a trading position at the trading time instance that minimizes global variance of profit and loss to the trader. To be published with Fig. 2