IEEE - Institute of Electrical and Electronics Engineers, Inc. - A Framework of Option Buy-Side Strategy with Simple Index Futures Trading Based on Kelly Criterion

2018 5th International Conference on Behavioral, Economic, and Socio-Cultural Computing (BESC)

Author(s): Mu-En Wu ; Pang-Jen Hung
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 November 2018
Conference Location: Kaohsiung, Taiwan, Taiwan
Conference Date: 12 November 2018
Page(s): 210 - 212
ISBN (Electronic): 978-1-7281-0207-8
DOI: 10.1109/BESC.2018.8697308
Regular:

We propose a framework of option trading strategy for the simple index futures trading. According to Kelly criterion, we find the most profitable option strike price for buying side and calculate... View More

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