Projektdetails
Beschreibung
We derive an explicit solution for covariance between european options under the assumption of incomplete markets. We use this object to create a trading strategy based on mean-variance preferences. Consequently, we compare the distribution of implied P&L ratio with other commonly used strategies using monte carlo simulation and argue about its effectiveness.
Status | Laufend |
---|---|
Tatsächlicher Beginn/ -es Ende | 1/09/11 → … |