Model for constructing an option's portfolio with a certain payoff function

M. E. Fatyanova, M. E. Semenov

Research output: Contribution to journalConference articlepeer-review

1 Citation (Scopus)

Abstract

The portfolio optimization problem is a basic problem of financial analysis. In the study, an optimization model for constructing an option's portfolio with a certain payoff function has been proposed. The model is formulated as an integer linear programming problem and includes an objective payoff function and a system of constraints. In order to demonstrate the performance of the proposed model, we have constructed the portfolio on the European call and put options of Taiwan Futures Exchange. The optimum solution was obtained using the MATLAB software. Our approach is quite general and has the potential to design option's portfolios on financial markets.

Original languageEnglish
Pages (from-to)254-262
Number of pages9
JournalCEUR Workshop Proceedings
Volume1904
DOIs
Publication statusPublished - 2017
Event2017 Mathematical Modeling Session at the International Conference Information Technology and Nanotechnology, MM-ITNT 2017 - Samara, Russian Federation
Duration: 24 Apr 201727 Apr 2017

Keywords

  • Combinatorial model
  • Linear programming problem
  • Option strategies
  • Payoff function
  • Portfolio selection problem

ASJC Scopus subject areas

  • Computer Science(all)

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