Optimization of Setting Take-Profit Levels for Derivative Trading

Mathematical and Computational Applications

Rui, Xiaodong¹ 

关键词: Black-Scholes model;    passage time;    optimization;   

DOI  :  10.3390/mca22010001

学科分类：计算数学

来源: mdpi

【 摘 要 】

This paper develops an optimal stopping rule by characterizing the take-profit level. The optimization problem is modeled by geometric Brownian motion with two switchable regimes and solved by stochastic calculation. A closed-form profitability function for the trading strategies is given, and based on which the optimal take-profit level is numerically achievable with small cost of computational complexity.

【 授权许可】

CC BY