Quadratic optimum trading positions for Asian options

摘要

QUADRATIC OPTIMUM TRADING POSITIONS FOR ASIAN OPTIONS A trading position evaluation system (102) for evaluating trading positions that are globally optimum in market measure includes a trading parameters determination module (130) to determine at a trading time instance from amongst a plurality of trading time instances obtained from a trader, a plurality of trading parameters pertaining to a path dependent Asian option based on ECC data (110) and market data (114), retrieved from a database (108). The trading parameters are indicative of information relating to the path dependent Asian option. Based on the trading parameters, a position evaluation module (132) evaluates a trading position in the underlying asset at the trading time instance based on the plurality of trading parameters to minimize global variance of profit and loss to the trader. RETRIEVING MARKET DATA AND EUROPEAN CONTINGENT CLAIM (ECC) DATA ASSOCIATED WITH AN UNDERLYING ASSET OF A PATH-DEPENDENT ASIAN OPTION DETERMINING A PLURALITY OF TRADING PARAMETERS AND PRICING OPTION PARAMETERS PERTAINING TO THE PATH-DEPENDENT ASIAN OPTION AT A TRADING TIME INSTANCE BASED ON THE MARKET DATA AND THE ECC DATA COMPUTING GEOMETRIC AVERAGE OF THE PRICING OPTION PARAMETERS AT PRE-SET TIME INSTANCES BETWEEN THE TIME OF INITIATION AND THE TIME OF MATURITY OF THE ASIAN OPTION EVALUATING A TRADING POSITION IN THE UNDERLYING ASSET AT THE TRADING TIME INSTANCE BASED ON THE PLURALITY OF TRADING PARAMETERS AND THE GEOMETRIC AVERAGE OF THE PRICING OPTION PARAMETERS Figure 2