Solving for optimal futures and options positions using a simulation-optimization technique
✍ Scribed by Li-Fen Lei; Donald Liu; Arne Hallam
- Publisher
- John Wiley and Sons
- Year
- 1995
- Tongue
- English
- Weight
- 629 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
CCC 0270-731 4/95/050559-13 contains an empirical section on optimal futures and options positions for a fat cattle producer. The simulation method there is different from the simulation-optimization procedure proposed in this study. The empirical analysis in is based on the optimization result derived from their theoretical model (with assumptions). The procedure proposed in this study is empirical in nature both in the simulation stage and in the optimization stage of the analysis.
'Since ~1 is truncated by the strike price, it is not normally distributed. Hence, a mean-variance model is not appropriate for the numerical analysis.