chapter 5. Selection of Option Strategies

5.1 Introduction

Two important issues are examined in this chapter. The first one relates to the analysis of criteria applicability to option strategies selection. The second issue involves designing the optimal technique to select option strategies on the basis of strictly formalized criteria.

The key task of the first issue is to assess the effectiveness of criteria in selecting the best option strategy for a given underlying asset among many available alternatives. Suppose that there is a set of underlying assets for each of which we have to choose one option strategy possessing the highest profit potential. To select the most prospective strategy, we have to construct several option combinations ...

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