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On April 13, 2021, the Hang Seng Index (HSI) is 28497 . For the sake of this question, we assume that we hold an asset
On April 13, 2021, the Hang Seng Index (HSI) is 28497 . For the sake of this question, we assume that we hold an asset which tracks exactly the HSI. We make use of the CVaR optimization model in Diaz \& Kwon 2019 to find the best option to write. Since we only have one asset, n=1,x1=1, and we can remove decision variables w1 from the optimization problem. We further set rf=0,D1=0, and we have no target return to meet. The market data is freely available on HKEx website and a partial data table is in a4od.Rds. SettlementPrice can be interpreted as the market price in this question. Impliedvolatility is for your reference only in case you know but not required in this question. The code "HSI28200D1" is the name of the option with strike price 28200. The scenarios for the market price of HSI on the expiry date in stored in a4prices.Rds. Construct the optimization problem in mps format and solve it with =0.9. On April 13, 2021, the Hang Seng Index (HSI) is 28497 . For the sake of this question, we assume that we hold an asset which tracks exactly the HSI. We make use of the CVaR optimization model in Diaz \& Kwon 2019 to find the best option to write. Since we only have one asset, n=1,x1=1, and we can remove decision variables w1 from the optimization problem. We further set rf=0,D1=0, and we have no target return to meet. The market data is freely available on HKEx website and a partial data table is in a4od.Rds. SettlementPrice can be interpreted as the market price in this question. Impliedvolatility is for your reference only in case you know but not required in this question. The code "HSI28200D1" is the name of the option with strike price 28200. The scenarios for the market price of HSI on the expiry date in stored in a4prices.Rds. Construct the optimization problem in mps format and solve it with =0.9
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