Optimization of Setting Take-Profit Levels for Derivative Trading
AbstractThis paper develops an optimal stopping rule by characterizing the take-profit level. The optimization problem is modeled by geometric Brownian motion with two switchable regimes and solved by stochastic calculation. A closed-form profitability function for the trading strategies is given, and based on which the optimal take-profit level is numerically achievable with small cost of computational complexity. View Full-Text
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Rui, X.; Liu, Y.; Yang, A.; Yang, H.; Zhang, C. Optimization of Setting Take-Profit Levels for Derivative Trading. Math. Comput. Appl. 2017, 22, 1.
Rui X, Liu Y, Yang A, Yang H, Zhang C. Optimization of Setting Take-Profit Levels for Derivative Trading. Mathematical and Computational Applications. 2017; 22(1):1.Chicago/Turabian Style
Rui, Xiaodong; Liu, Yue; Yang, Aijun; Yang, Hongqiang; Zhang, Chengcui. 2017. "Optimization of Setting Take-Profit Levels for Derivative Trading." Math. Comput. Appl. 22, no. 1: 1.
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