Optimization of Setting Take-Profit Levels for Derivative Trading
Abstract
:1. Introduction
2. Problem Formulation
3. Computation of Transaction Time
3.1. Independence between and
3.2. Distribution of
4. Optimization of Take-Profit Levels
5. Numerical Simulation
6. Conclusion and Future Work
Acknowledgments
Author Contributions
Conflicts of Interest
Appendix A
References
- Vidyamurthy, G. Pairs Trading: Quantitative Methods and Analysis. Pearson Schweiz Ag. 2004, 35–47. [Google Scholar]
- Eloe, P.; Liu, R.H.; Yatsuki, M.; Yin, G.; Zhang, Q. Optimal selling rules in a regime-switching exponential Gaussian diffusion model. SIAM J. Appl. Math. 2008, 69, 810–829. [Google Scholar] [CrossRef]
- Hamilton, J.D. A new approach to the economic analysis of non-stationary time series. Econometrica 1989, 57, 357–384. [Google Scholar] [CrossRef]
- Yao, D.D.; Zhang, Q.; Zhou, X.Y. A regime-switching model for European options. Int. Ser. Oper. Res. Manag. Sci. 2006, 94, 281–300. [Google Scholar]
- Hammersley, J.M.; Handscomb, D.C. Monte Carlo Methods. Springer Neth. 1964, 30, 347–385. [Google Scholar]
- Mörters, P.; Peres, Y. Brownian Motion; Cambridge University Press: Cambridge, UK, 2010. [Google Scholar]
- Schilling, R.L.; Böttcher, B.; Partzsch, L. Brownian Motion: An Introduction to Stochastic Processes; Walter de Gruyter GmbH & Co KG: Berlin, Germany, 2012. [Google Scholar]
- Oksendal, B. Stochastic Differential Equations, 6th ed.; Springer: New York, NY, USA, 2003. [Google Scholar]
- Karatzas, I.; Shreve, S.E. Brownian Motion and Stochastic Calculus; Springer: New York, NY, USA; Berlin, Germany, 1991. [Google Scholar]
Average Testing Errors | 0.028 | |||||
Average Running Time | 54.60 min | |||||
Average Testing Errors | 0.011 | |||||
Average Running Time | 30.11 min |
© 2016 by the authors; licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC-BY) license (http://creativecommons.org/licenses/by/4.0/).
Share and Cite
Rui, X.; Liu, Y.; Yang, A.; Yang, H.; Zhang, C. Optimization of Setting Take-Profit Levels for Derivative Trading. Math. Comput. Appl. 2017, 22, 1. https://doi.org/10.3390/mca22010001
Rui X, Liu Y, Yang A, Yang H, Zhang C. Optimization of Setting Take-Profit Levels for Derivative Trading. Mathematical and Computational Applications. 2017; 22(1):1. https://doi.org/10.3390/mca22010001
Chicago/Turabian StyleRui, Xiaodong, Yue Liu, Aijun Yang, Hongqiang Yang, and Chengcui Zhang. 2017. "Optimization of Setting Take-Profit Levels for Derivative Trading" Mathematical and Computational Applications 22, no. 1: 1. https://doi.org/10.3390/mca22010001