Earticle

초록

영어

This paper proposes a method for effectively implementing the pyramid strategy. The pyramid strategy is based on the short strangle strategy and adopts the multiple-entry approach. Risk management is an essential element of derivatives trading, and the pyramid strategy is very efficient because it combines mutual and dynamic hedging. However, in operating the pyramid strategy, choosing a specific exercise price results in significant differences in terms of profitability and stability. This paper analyzes theta—measurement of decreasing time-value of an option—to propose a method for achieving profitability and stability simultaneously. The proposed approach involves adding stability by selecting deep out-of-the-money (OTM) options in early monthly contracts, and moving to near OTM options with high theta values in late monthly contracts to pursue profitability. To verify the validity of the proposed method, automatic strangle trades was simulated based on real data of Korean option information system. The simulation was performed using the multi-chart automatic trading analysis tool. The results of simulation using April 2012 contracts confirmed that the proposed method produces higher returns and offers greater stability than conventional methods.

목차

Abstract
 1. Introduction
 2. Theta
 3. Experiment and Results
 4. Conclusions
 References

키워드

저자

• Young-Hoon Ko [ Department of Computer Engineering, Hyupsung University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  International Journal of Software Engineering and Its Applications

• 간기

  월간

• pISSN

  1738-9984

• 수록기간

  2008~2016

• 등재여부

  SCOPUS

• 십진분류

  KDC 505 DDC 605