The Study of Trading Based on Carry Models
Authors
Yihang He1, Xueji Cao2, Bowen Wang3, Luna Peng4
1Financial management, Qingdao University of Technology, Qingdao,m17864286297@163.com
2Accounting, Chongqing University of Technology, Chongqing,xuejicao@126.com
3Mathematics, Purdue University, West Lafayette,wang4436@purdue.edu
4Applied Mathematics, Syracuse University, City Syracuse,lpeng08@syr.edu
Corresponding Author
Yihang He
Available Online 8 April 2022.
- DOI
- 10.2991/assehr.k.220401.209How to use a DOI?
- Keywords
- carry; commodity; option; FX; future
- Abstract
Under the leadership of Professor Eric Yeh of Columbia University, the authors use nine carry models including No arbitrage pricing model, Iron condor model, Spot holding model, Cost of carry model, Premium selling model, Classic FX carry model, Convenience yield model, Collar trade model and FX transaction decision model to evaluate the return of commodity futures, options and forex respectively. Through the trading activities under the mechanisms of nine models respectively, PNLs of each asset are drawn and listed as follows.
- Copyright
- © 2022 The Authors. Published by Atlantis Press SARL.
- Open Access
- This is an open access article distributed under the CC BY-NC 4.0 license.
Cite this article
TY - CONF AU - Yihang He AU - Xueji Cao AU - Bowen Wang AU - Luna Peng PY - 2022 DA - 2022/04/08 TI - The Study of Trading Based on Carry Models BT - Proceedings of the 2022 International Conference on Social Sciences and Humanities and Arts (SSHA 2022) PB - Atlantis Press SP - 1096 EP - 1112 SN - 2352-5398 UR - https://doi.org/10.2991/assehr.k.220401.209 DO - 10.2991/assehr.k.220401.209 ID - He2022 ER -