Russian Psychological Issues PsyJournals.ru
OPEN ACCESS JOURNALS
JournalsTopicsAuthorsEditor's Choice For AuthorsAbout PsyJournals.ruContact Us

Modelling and Data Analysis

Publisher: Moscow State University of Psychology and Education

ISSN (printed version): 2219-3758

ISSN (online): 2311-9454

DOI: https://doi.org/10.17759/mda

License: CC BY-NC 4.0

Started in 2011

Published 4 times a year

Free of fees
Open Access Journal

 

The Stop-Loss Start-Gain Strategy Modification With Tilt Deadband Research 75

Zubov S.A.
Student, Moscow Aviation Institute (National Research University), Moscow, Russia
e-mail: zubslav@yandex.ru

Abstract
In this article The stop-loss start-gain strategy modification with tilt deadband is studied. The top line of this band is tilted. During the research mathematical model with discrete pricing process was examined. The increments of this process have a normal distribution with a constant nonzero mean and constant dispersion. The article considers the distribution of the number of intersections of a nonrectilinear strip by a discrete Gaussian walk. Formulas that allow to specify the distribution of the number of intersections of the strip in the directions “bottomup” and “top-down” were deduced. An algorithm was developed to calculate the number of these intersections and evaluate the conditional probability of the transition. In addition, the dependence of the average hedger losses while using this strategy on the slope coefficient of the upper boundary of the dead band and the band width was considered. Using the Monte Carlo simulation, an algorithm was developed to find the optimal width and slope of the strip. During the numerical experiments, the dependence was revealed and the optimal slope coefficient was determined for the given parameters. Experimental work confirmed the correctness of the proposed algorithms and proved the effectiveness of this modification in comparison with the use of a strategy with a straight strip.

Keywords: option, stop-loss start-gain strategy, Gaussian walk, deadband

Column: Mathematical Modelling

DOI: https://doi.org/10.17759/mda.2019090403

For Reference

References
  1. Black F., Scholes M. “The Sricing of Options and Corporate Liabilities“ // Journal of Political Economy. 1973. Vol. 81. № .3. P. 637–659.
  2. Burenin A.N. “Rynki proizvodnyh fi nansovyh instrumentov“ M.:Infra-M, 1996
  3. Carr P., Jarrow R. “The Stop-Loss Start-Gain Paradox and Option Valuatuin: a New Decomposition into Intrinistic and Time Value“ // Review of Financial Studies. 1990. V. 3. № .3 P.469–492.
  4. Guberniev V.A., Kibzun A.I. Posledovatel’noe hedzhirovanie opcionnoj pozicii: analiz I modernizaciya // Avtomatika i telemekhanika.- 1999.– № 1. – S. 113–125.
  5. Kibzun A.I., Sobol V.R., “MODIFICATION OF STOP-LOSS START GAIN STRATEGY. DISTRIBUTION OF HEDGER’S LOSSES” UPRAVLENIE BOL’SHIMI SISTEMAMI Materialy XI vserossijskoj shkoly-konferencii molodyh uchenyh. 2014. C. 580–591.
  6. Kibzun A.I., Sobol V.R., “A two-step problem of hedging a European call option under a random duration of transactions“//Tr. In-ta matematiui i mekhaniki UrO RAN. 2015. T. 21, № 3. S.164–174.
  7. Seidenverg E. “A Case of Confused Identity“ // Financial Analysts Journal. 1988. P. 63-67.
comments powered by Disqus
 
About PsyJournals.ru

© 2007–2020 Portal of Russian Psychological Publications. All rights reserved

PsyJournals.ru in Russian

Publisher: Moscow State University of Psychology and Education

Catalogue of academic journals in psychology & education MSUPE

Creative Commons License

RSS Psyjournals at facebook Psyjournals at Twitter Psyjournals at Youtube ??????.???????