Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/61900


Title: Option Trading Strategies with Integer Linear Programming
Authors: 劉明郎
Liu, Ming Long
Liang, Tao
Liu,Hsuan-Ku
Contributors: 應數系
Keywords: Integer linear programming;Arbitrage opportunity;Option pricing
Date: 2012-12
Issue Date: 2013-11-27 17:39:04 (UTC+8)
Abstract: 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.
Relation: International Journal of Intelligent Technologies and Applied Statistics, 5(4), 375-387
Data Type: article
Appears in Collections:[應用數學系] 期刊論文

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