個案資料
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Julia Reka: Analyzing Put Options
內容大綱
In 2014, an Amazon stockholder wants to decide the long/short positions for several put options that would result in the lowest risk at the best possible return on her stocks. In particular, she is looking to generate as much return as the status quo strategy where no put options are used.
學習目標
This case is suitable for an undergrad or MBA management science course; it can also be taught in a finance course or module. The key concepts are lognormal stock pricing model, normally distributed random numbers, simulation, hardcoding random numbers, optimization and statistical analysis.