Assessment of Options Investments by Ranking Analysis

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Pearson Education, Jul 29, 2010 - Business & Economics - 20 pages
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A powerful new technique for evaluating the profit potential of complex option combinations with nonlinear payoffs.

 

Why is an additional analytic tool needed? Generally, evaluation of investment decisions is based on comparing realized profits (variability, drawdown, and other risk measures) with their corresponding expected values. While such an approach is appropriate for financial instruments possessing linear payoff functions, it has numerous drawbacks when applied to evaluating complex option combinations with nonlinear payoffs....

 

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Contents

Section 1
Section 2
Section 3
Section 4
Section 5
Section 6
Section 7
Section 8
Section 9

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About the author (2010)

Sergey Izraylevich, Chairman of High Technology Invest Inc., has traded options for more than 10 years and now creates automated systems for algorithmic options trading. Formerly a lecturer at Hebrew University of Jerusalem, he received the Golda Meir Prize for academic excellence. He and Vadim Tsudikman are the authors of the forthcoming book, Systematic Options Trading: Evaluating, Analyzing, and Profiting from Mispriced Option Opportunities (FT Press, September 2010).  

 

Vadim Tsudikman, President of High Technology Invest Inc., specializes in derivatives valuation, hedging, and capital allocation in extreme markets. He develops complex trading systems based on multicriteria analysis and genetic optimization algorithms. The authors recently cowrote several articles for Futures magazine on options pricing, volatility, and risk.

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