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    政大機構典藏 > 理學院 > 應用數學系 > 期刊論文 >  Item 140.119/61900


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    題名: Option Trading Strategies with Integer Linear Programming
    作者: 劉明郎
    Liu, Ming Long
    Liang, Tao
    Liu,Hsuan-Ku
    貢獻者: 應數系
    關鍵詞: Integer linear programming;Arbitrage opportunity;Option pricing
    日期: 2012-12
    上傳時間: 2013-11-27 17:39:04 (UTC+8)
    摘要: The problem of how to construct the optimal combination trading strategy for investors when they face a series of options of different exercise prices on the same maturity date can be solved by many standard trading rules. Yet these standard trading rules cannot completely cover the complex and highly changeable combination strategy. This paper proposes an integer linear programming (ILP) model to construct the optimal trading strategy for option portfolio selection. This model focuses on constructing the optimal strategy for an option portfolio of call- and put-options on the same maturity date. Given the investor`s belief of the stock price, we also provide an extended ILP model to include this belief. Finally, an empirical study will be presented by using the ILP model applied to the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX, Ticker Symbol: TXO) call and put options.
    關聯: International Journal of Intelligent Technologies and Applied Statistics, 5(4), 375-387
    資料類型: article
    顯示於類別:[應用數學系] 期刊論文

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