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Stratégia Long Call Ladder a jej analýza
Business Administration and Management
Stratégia Long Call Ladder a jej analýza
Name and surname of author:
Vincent Šoltés
Year:
2003
Issue:
3
Keywords:
opčná stratégia, funkcia zisku, optimálny algoritmus
DOI (& full text):
Anotation:
Long Call Ladder Option Strategy and Its Analysis
is analysed in this paper. It is less known option strategy suitable especially under supposed low volatility of the price of the underlying asset. Two possibility of the creation of this strategy are described. The first is based on call options. The second (unknown up to now) is based on buying put options with the lowest strike price, selling put options with higher and selling call options with the highest strike price. There are found profit functions in both cases in analytical form. On the base profit functions optimal algorithm is found for its uses in practise.
The profit function of this strategy is compare with profit function Long Condor Strategy and there is found condition under which Long Call Ladder Strategy is better than Long Condor Strategy.
Long Call Ladder Option Strategy and Its Analysis
is analysed in this paper. It is less known option strategy suitable especially under supposed low volatility of the price of the underlying asset. Two possibility of the creation of this strategy are described. The first is based on call options. The second (unknown up to now) is based on buying put options with the lowest strike price, selling put options with higher and selling call options with the highest strike price. There are found profit functions in both cases in analytical form. On the base profit functions optimal algorithm is found for its uses in practise.
The profit function of this strategy is compare with profit function Long Condor Strategy and there is found condition under which Long Call Ladder Strategy is better than Long Condor Strategy.
is analysed in this paper. It is less known option strategy suitable especially under supposed low volatility of the price of the underlying asset. Two possibility of the creation of this strategy are described. The first is based on call options. The second (unknown up to now) is based on buying put options with the lowest strike price, selling put options with higher and selling call options with the highest strike price. There are found profit functions in both cases in analytical form. On the base profit functions optimal algorithm is found for its uses in practise.
The profit function of this strategy is compare with profit function Long Condor Strategy and there is found condition under which Long Call Ladder Strategy is better than Long Condor Strategy.
Section:
Business Administration and Management
Economics and Management
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