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Open AccessArticle

Optimization of Setting Take-Profit Levels for Derivative Trading

by 1,3,†, 2,*,†, 1,*,†, 1,† and 4,†
1
College of Economics and Management, Nanjing Forestry University, Nanjing 210037, China
2
School of Finance and Economics, Jiangsu University, Zhenjiang 212013, China
3
School of Business, Jinling Institute of Technology, Nanjing 211169, China
4
School of Finance, Nanjing Audit University, Nanjing 211815, China
*
Authors to whom correspondence should be addressed.
These authors contributed equally to this work.
Academic Editor: Fazal M. Mahomed
Math. Comput. Appl. 2017, 22(1), 1; https://doi.org/10.3390/mca22010001
Received: 11 September 2016 / Revised: 29 November 2016 / Accepted: 9 December 2016 / Published: 22 December 2016
This 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
Keywords: Black-Scholes model; passage time; optimization Black-Scholes model; passage time; optimization
MDPI and ACS Style

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.

AMA Style

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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