Analysis of vertical spread strategies and suggestion of optimal algorithm for practical investment


Vincent Soltes


Abstract

carpathian_2001_17_135_140_abstract

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carpathian_2001_17_135_140

Vertical Bull Spread strategy and Vertical Bear Spread strategy are analysed in this paper.Profit functions are described for all possible ways of their creation. Conditions are providead under which particular methods are equivalent in terms of profit funcion. Based on these theoretical principles optimal algorithm for use of Verical Spread strategies in practical investment is designed.

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Author(s)

Soltes, Vincent