Globally optimum trading positions in risk-neutral measure
作者： Easwara Naga Subramanian , Vijaysekhar Chellaboina , Arihant Jain , Sanjay Purushottam Bhat
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摘要: A trading position evaluation system for evaluating positions that are globally optimum in a risk-neutral measure includes an option price determination module configured to determine current and shifted of underlying asset European Contingent Claim (ECC) at time instance amongst plurality instances obtained from trader, based on ECC data market data. The comprises associated with the ECC, annualized volatility risk-free interest rate market. Based price, evaluates minimizes global variance profit loss trader.
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