Globally optimum trading positions for multi-asset options

摘要

A trading position evaluation system (102) for evaluating trading positions that are globally optimum for a path-independent multi-asset European Contingent Claim (ECC) includes an option price determination module (216) configured to determine a current option price matrix, a shifted option price matrix, and a normalized conditional variance matrix associated with underlying assets of the 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). Based on the current option price matrix, the shifted option price matrix, and the normalized conditional variance matrix, a position evaluation module (116) evaluates a trading position in each of the underlying assets at the trading time instance that minimizes global variance of profit and loss to the trader.