LOCALLY OPTIMUM TRADING POSITIONS FOR PATH-DEPENDENT OPTIONS

摘要

A trading position evaluation system for evaluating trading positions that are locally optimum for a path-dependent European Contingent Claims (ECC) includes an option price determination module to determine a scaled option price and a shifted scaled option price of the path-dependent ECC based on ECC data and market data, retrieved from a database. The scaled option price and the shifted scaled 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 scaled option price and the shifted scaled option price, a position evaluation module evaluates a trading position in an underlying asset of the path-dependent ECC at the trading time instance that minimizes local variance of profit and loss to the trader.

主权项

1. A trading position evaluation system comprising:
a processor; an option price determination module coupled to the processor to determine a scaled option price and a shifted scaled option price of a path-dependent European Contingent claim (ECC) based on ECC data and market data, retrieved from a database, wherein the ECC data comprises data associated with the path-dependent ECC and an underlying asset of the path-dependent ECC, and the market data comprises annualized volatility of the underlying asset, annualized rate of return of the underlying asset and risk-free interest rate of market, and wherein the scaled option price and the shifted scaled 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; and a position evaluation module coupled to the processor to evaluate a trading position in the underlying asset at the trading time instance based on the scaled option price and the shifted scaled option price, wherein the trading position minimizes local variance of profit and loss to the trader.