谷歌浏览器插件
订阅小程序
在清言上使用

The Option Value in Timing Derivative Trades

SSRN Electronic Journal(2015)

引用 0|浏览14
暂无评分
摘要
Risk-neutral traders executing derivative trades on behalf of portfolio managers maximize their expected profit compared to trading at pre-determined times by timing trades, using the quickly changing risk exposures of derivative baskets. The optimal order submission strategy is a sequence of stop orders with a time-varying stop price. Timing a straddle trade yields up to 20bps per day in a frictionless world, and up to 72bps per day on the S&P500. A CRRA trader is willing to pay up to 51bps of the value of the derivatives to switch from trading at a fixed time to the optimal timing strategy.
更多
查看译文
关键词
derivatives trading,optimal stopping,dynamic programming
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要