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首页> 外文会议>Advances in Computational Methods in Sciences and Engineering 2005 vol.4A; Lecture Series on Computer and Computational Sciences; vol.4A >An Elementary Speculative Strategy in the case of Informations about the Future Behaviour of the Market
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An Elementary Speculative Strategy in the case of Informations about the Future Behaviour of the Market

机译：有关市场未来行为的信息中的基本投机策略

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摘要

In reality there are cases in which the Long/Short Seller has at disposal some informations about the future behaviour of the market. In detail there are situations in which, observed along a financial horizon a stock price, is known either precisely the price at maturity of the stock or, more generally, a possible interval of values among which the stock price at maturity is included. It comes natural to wonder if it is possible in this context to build an arbitrage strategy. Main theorical contribution of the article is to construct an elementary speculative strategy that brings to a sure profit without risk. In particular here is modelled a 0/1 strategy, that corresponds to the situation in which the Long/Short Seller owns some units of the stock on which he has informations on the behaviour if its price at maturity and takes into account two possible decisions: either to sell the unit of stock owned at the maturity date or to sell them at a date before. Crucial result of the article is that under suitable conditions that the values known at maturity must satisfy, there exists an optimal stock price in correspondence to a date before maturity, at which the Long/Short seller maximizes its profit. It is derived the exact explicit formula of the optimal stock price and of the arbitrage profit. Moreover, in order to test the validity of the speculative strategy, it has been computed a complete asympotic analysis of the behaviour of both the optimal price and the arbitrage profit, as the maturity date grows in time. The model used in order to describe the stock price fluctuations is the usual Black and Sholes with as white noise part a Random Walk for the discrete time setting and a Brownian motion for the continuous time context.
机译：实际上，在某些情况下，多头/空头卖方可以支配一些有关市场未来行为的信息。详细地讲，在某些情况下，从财务角度看，股票价格要么准确地知道了股票到期时的价格，要么更普遍地是其中包括了到期时股价的可能值区间。很自然地想知道在这种情况下是否有可能制定套利策略。本文的主要理论贡献是构建一种基本的投机策略，该策略可以带来毫无风险的肯定利润。特别是在这里以0/1策略为模型，该策略对应于多头/空头卖方拥有某些股票单位的情况，如果该股票的到期价格为零，他就可以掌握有关行为的信息，并考虑了两个可能的决定：要么出售到期日拥有的股票单位，要么出售之前的日期。该文章的关键结果是，在到期条件下必须满足的已知条件的适当条件下，存在与到期前的日期相对应的最佳股票价格，在该日期之前，多头/空头卖方最大化了其利润。它推导了最佳股票价格和套利利润的精确明确公式。此外，为了检验投机策略的有效性，已计算出随着到期日的增长，最优价格和套利利润行为的完整渐近分析。用于描述股票价格波动的模型是通常的Black和Sholes，具有作为白噪声的一部分，离散时间设置为Random Walk，连续时间范围为Brownian运动。

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