Globally optimum trading positions in risk-neutral measure

摘要

A trading position evaluation system 102 for evaluating trading positions that are globally optimum in a risk-neutral measure includes an option price determination module 216 configured to determine a current option price and a shifted option price of an underlying asset of a European Contingent Claim (ECC) at a trading time instance amongst a plurality of trading time instances obtained from a trader, based on ECC data 110 and market data 114. The ECC data 110 comprises data associated with the ECC and the underlying asset of the ECC, and the market data 114 comprises annualized volatility of the underlying asset and risk-free interest rate of market. Based on the current option price and the shifted option price, a position evaluation module 116 evaluates a trading position at the trading time instance that minimizes global variance of profit and loss to the trader. Historical data 112 of the underlying asset may be used to compute log returns and a plurality of scenarios from a best-fit model of the log-returns may be used to compute volatility. The system may further comprise an interest rate calculation module 214 to calculate a risk free interest rate based on ECC data.