A simple options training model

Authors:
L. Ingber
Affiliations:
DRW Investments LLC Chicago Mercantile Exchange Center 30 S. Wacker Dr., Ste. 1516, Chicago, IL 60606, U.S.A. and Lester Ingber Research P.O. Box 06440, Wacker Dr.P.O. Sears Tower, Chicago, IL 606 ...
Venue:
Mathematical and Computer Modelling: An International Journal
Year:
1999

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Abstract

Options pricing can be based on sophisticated stochastic differential equation models. However, many traders, expert in their art of trading, develop their skills and intuitions based on loose analogies to such models and on games designed to tune their trading skills, not unlike the state of affairs in many disciplines. An analysis of one such game reveals some simple but relevant probabilistic insights into the nature of options trading often not discussed in most texts.