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Relevant bibliographies by topics / Option trading strategies

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Academic literature on the topic 'Option trading strategies'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

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Journal articles on the topic "Option trading strategies"

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Šoltés, Michal. "Using Option Strategies in Trading." Procedia - Social and Behavioral Sciences 110 (January 2014): 979–85. http://dx.doi.org/10.1016/j.sbspro.2013.12.944.

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Fahlenbrach, Rüdiger, and Patrik Sandås. "Does information drive trading in option strategies?" Journal of Banking & Finance 34, no. 10 (October 2010): 2370–85. http://dx.doi.org/10.1016/j.jbankfin.2010.02.027.

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Choi, Byungwook. "Overpriced Puts Puzzle in KOSPI 200 Options Market." Journal of Derivatives and Quantitative Studies 17, no. 3 (August 31, 2009): 23–65. http://dx.doi.org/10.1108/jdqs-03-2009-b0002.

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The purpose of this paper is to examine the argument that the put options traded in the exchanges are too high, compared to the asset prices based on the classical CAPM model, and thus the short position of the put option would make a significant profit from trading. In order to explore the earlier report, this paper, using the KOSPI 200 index options market price, estimates the historical rate of return on several option trading strategies such as naked option, protective put, covered call, straddle, and strangle. Secondly this paper compares the historical rates of return on the option trading strategies and Sharpe ratios with those generated by Monte-Carlo simulation and examines whether the historical option returns are inconsistent with Black-Scholes model, Jump-diffusion model, Stochastic Volatility model, or Stochastic Volatility with Jump model. Thirdly, this paper computes the optimal asset allocation ratio among the risk-free asset, risky assets, and option trading strategies in the viewpoint of rational investors who maximize the CRRA utility function. The results show that the historical returns on short position of ATM and OTM puts are too high to explain based on the classical CAPM, and the optimal allocation ratios among put, risky asset, and the risk-free asset are different from those derived using Monte-Carlo simulation.

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BAYRAKTAR, ERHAN, and ZHOU ZHOU. "SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY." International Journal of Theoretical and Applied Finance 20, no. 06 (September 2017): 1750036. http://dx.doi.org/10.1142/s0219024917500364.

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We consider the super-hedging price of an American option in a discrete-time market in which stocks are available for dynamic trading and European options are available for static trading. We show that the super-hedging price [Formula: see text] is given by the supremum over the prices of the American option under randomized models. That is, [Formula: see text], where [Formula: see text] and the martingale measure [Formula: see text] are chosen such that [Formula: see text] and [Formula: see text] prices the European options correctly, and [Formula: see text] is the price of the American option under the model [Formula: see text]. Our result generalizes the example given in Hobson & Neuberger (2016) that the highest model-based price can be considered as a randomization over models.

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Eraker, Bjørn. "The performance of model based option trading strategies." Review of Derivatives Research 16, no. 1 (July 25, 2012): 1–23. http://dx.doi.org/10.1007/s11147-012-9079-8.

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Singh, J. P. "On Volatility Trading & Option Greeks." GIS Business 12, no. 4 (July 22, 2017): 20–31. http://dx.doi.org/10.26643/gis.v12i4.3351.

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Commensurate with this exponential growth in the depth and breadth of derivative markets and the range of financial products traded therein, there needs to be developed a comprehensive mathematical framework to support the, hitherto, empirically established features of trading strategies involving these instruments. It is the objective of this article, to provide a mathematical backup for the various properties of volatility trading strategy using call options. Additionally, an attempt is made to elucidate the implications of behavior of various option Greeks on volatility trading.

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Kwon, Soon Shin, Byung Jin Kang, and Jay M. Chung. "Performance of Option Based Strategy Benchmark Index." Journal of Derivatives and Quantitative Studies 26, no. 2 (May 31, 2018): 183–216. http://dx.doi.org/10.1108/jdqs-02-2018-b0002.

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This paper develops “Strategy Benchmark Index (SBI)” using KOSPI200 options data from January 2004 to March 2017, and then investigates their performances. The SBIs were constructed in the same way as those published daily by CBOE. To effectively analyze the performance of these SBIs, we classified them into four types : (1) Return enhancement SBIs (six indices), (2) Volatility trading SBIs (two indices), (3) Directional trading SBIs (two indices) and (4) Other SBIs (two indices). The return enchancement SBIs include bechmark indices tracking the performance of various covered call strategies and put writing strategies, which are generally used to increase investment returns. The volatility trading SBIs include benchmark indices tracking the performance of well-known volatility trading strategies such as butterfly spread and condor. Benchmark indices tracking the performance of various types of zero-cost collar strategies are classified into the directional trading SBIs. Our empirical results are as follows. First, the risk-adjusted performances of nine SBIs of the total twelve SBIs constructed from KOSPI200 index options has been shown to be great. Second, from a portfolio perspective, some SBIs can be helpful to improve the portfolio performance of CRRA (Constant Relative Risk Aversion) investors. These results imply that passive investment strategies with KOSPI200 index options can provide additional benefits that both equities and bonds do not provide. Third, even when we use the traditional mean-variance framework other than expected utility theory to verify the economic benefit of the SBIs, our empirical results are found to be still valid. In conclusion, our results suggest that some passive investment strategies using KOSPI200 index options would be beneficial to long term investors.

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Jena, Sangram K., and Amarnath Mitra. "Golden Chariot Capital’s Foray into Option Trading." Asian Journal of Management Cases 16, no. 1 (March 2019): 9–20. http://dx.doi.org/10.1177/0972820119825978.

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The case presents a real-life situation faced by a research analyst to improve the performance of the funds under management by exploring the opportunities in the options market. Golden Chariot Capital (GCC), an investment firm with ₹500 million worth of assets under management, was failing in its objective to provide long-term capital appreciation with a steady income to its investors. GCC had its funds invested in publicly traded common stocks and corporate bonds. In the last 8 months, GCC failed to match up with the benchmark index. Ms Indira, a research analyst at GCC, was given the task to identify and suggest alternate avenues of investment. Indira brought forward a proposal to explore the derivatives market in general and options market in particular to improve the fund performance. After going through Indira’s proposal, few fund managers at GCC were reluctant to expose their funds to the speculative market of options. Hence, Indira was asked to conduct a pilot study on the payoffs resulting from selected income strategies using options. As an illustration, Indira came up with five income strategies comprising covered call, covered put, short straddle, short strangle and long iron condor that involved either selling of options resulting in income or reduction of cost of the portfolio. The case will help the students to learn about options and their payoffs, as well as strategies involving various options. The case is equally useful for practitioners taking a balanced view of the market to develop appropriate options related to income strategies.

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Hwang, Sang Won. "The Effect of Discriminative Trading Frictions on Option Strategies." Journal of Derivatives and Quantitative Studies 26, no. 1 (February 28, 2018): 27–57. http://dx.doi.org/10.1108/jdqs-01-2018-b0002.

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I estimate that a margin as trading frictions has an effect on the strategies of writing options. The important results are as follows. First, by the margin requirement is increased, the size of short position is reduced. Second, the discrimination of a margin requirement is due to the way that the member margin is imposed less about 1/3 than the customer margin by derivatives market business regulation in KRX. Third, the customer margin is from 1.4 to 1.6 times more than the member margin, and the margin “haircut” ratio is similar to that of the margin. Fourth, by target weight increases, the difference between target weight and effective weight is increased. Fifth, by target weight is increased, the member have higher returns on writing combination position than the customer have. It means that when investors increase the size of short position using all of account, they not only can suffer loss because of margin call but also can make profit. Overall, the difference between the returns of the member and the returns of the customer can be quite substantial. So, this paper contributes to the literature that studies the impact of the different imposition of margins by showing how frictions limit the customer from supplying liquidity to the market and hence releasing pressure on the member.

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Kalife, Aymeric, and Saad Mouti. "On Optimal Options Book Execution Strategies with Market Impact." Market Microstructure and Liquidity 02, no. 03n04 (December 2016): 1750002. http://dx.doi.org/10.1142/s2382626617500022.

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We consider the optimal execution of a book of options when market impact is a driver of the option price. We aim at minimizing the mean-variance risk criterion for a given market impact function. First, we develop a framework to justify the choice of our market impact function. Our model is inspired from Leland’s option replication with transaction costs where the market impact is directly part of the implied volatility function. The option price is then expressed through a Black– Scholes-like PDE with a modified implied volatility directly dependent on the market impact. We set up a stochastic control framework and solve an Hamilton–Jacobi–Bellman equation using finite differences methods. The expected cost problem suggests that the optimal execution strategy is characterized by a convex increasing trading speed, in contrast to the equity case where the optimal execution strategy results in a rather constant trading speed. However, in such mean valuation framework, the underlying spot price does not seem to affect the agent’s decision. By taking the agent risk aversion into account through a mean-variance approach, the strategy becomes more sensitive to the underlying price evolution, urging the agent to trade faster at the beginning of the strategy.

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Dissertations / Theses on the topic "Option trading strategies"

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Wang, Tong Tong. "Analyzing and simulating stock option trading strategies." Thesis, University of Macau, 2000. http://umaclib3.umac.mo/record=b1636264.

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Ribeiro, André Manuel da Silva. "Option pricing and optimal trading strategies for holding firms." Master's thesis, Instituto Superior de Economia e Gestão, 2010. http://hdl.handle.net/10400.5/2445.

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Mestrado em Matemática Financeira
In the corporate sector it is frequent to observe firms acquiring equity stakes in other firms. This phenomenon has an impact on the observed correlation between the return of the stocks of the two firms and on the suitable stochastic model to describe the behavior of the return of the holding company, which may not be described by a normal distribution anymore. This work aims to explore the implications of this fact on option pricing valuation and in the execution of optimal trading strategies. Concerning option pricing valuation, several methodologies, used in the literature in other contexts, were presented and discussed in this framework. A new hedging strategy was also presented. In a framework of correlated assets and illiquid markets, modeled through the dependence of the price of the holding company on the transactions of the participated company (and vice-versa), an optimal execution trading strategy is analyzed and an efficient frontier is derived. The speed of the transactions proved to be dependent on the risk aversion, variance of the stock, correlation and liquidity parameters.

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Magnusson, Lukas. "Dispersion Trading : Construction and Evaluation." Thesis, KTH, Industriell ekonomi och organisation (Inst.), 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-123733.

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Since the introduction of derivatives into the modern financial market, volatility based tradingstrategies have emerged as important tools for asset managers. Since the financial crisis apopular trading strategy has been dispersion trading, however few published studies ofdispersion trading exist. This thesis aim to perform a study of how dispersion strategies performand their characteristics. This is achieved by finding basic common dispersion trading strategies,isolate and evaluate their attributes to then draw conclusions in general about dispersion trading.Three basic dispersion strategies are found based on vanilla option spreads and their performanceis back-tested. It was found that the strategies delivered positive return with low marketcorrelation and acceptable risk. It is also found that transaction costs is a key-factors tosuccessfully use dispersion trading. Thus it is a vital factor to consider when creating adispersion based trading strategy. An interesting topic for further research is how trading signalssuch as the implied correlation and the implied volatility spread can be used to increaseprofitability. As well to model market impact from dispersion trading.

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Coufalík, Jan. "Opční strategie a oceňování měnových opcí." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-199783.

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The aim of this diploma thesis is to analyze and implement selected option pricing models using statistical software. The first chapter introduces theoretical basics of options as financial instruments ideal for hedging and speculation. The second chapter constitutes the core part of this thesis since it unveils theoretical concepts of risk-neutral pricing and at the same time analyze some basic, as well as highly sophisticated option pricing models. In addition, each model is accompanied by a practical example of their effective implementation. The final chapter characterize the most widely used option trading strategies and defines the ideal expected market development linked to each strategy.

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Sonono, Masimba Energy. "Applications of conic finance on the South African financial markets /| by Masimba Energy Sonono." Thesis, North-West University, 2012. http://hdl.handle.net/10394/9206.

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Conic finance is a brand new quantitative finance theory. The thesis is on the applications of conic finance on South African Financial Markets. Conic finance gives a new perspective on the way people should perceive financial markets. Particularly in incomplete markets, where there are non-unique prices and the residual risk is rampant, conic finance plays a crucial role in providing prices that are acceptable at a stress level. The theory assumes that price depends on the direction of trade and there are two prices, one for buying from the market called the ask price and one for selling to the market called the bid price. The bid-ask spread reects the substantial cost of the unhedgeable risk that is present in the market. The hypothesis being considered in this thesis is whether conic finance can reduce the residual risk? Conic finance models bid-ask prices of cashows by applying the theory of acceptability indices to cashows. The theory of acceptability combines elements of arbitrage pricing theory and expected utility theory. Combining the two theories, set of arbitrage opportunities are extended to the set of all opportunities that a wide range of market participants are prepared to accept. The preferences of the market participants are captured by utility functions. The utility functions lead to the concepts of acceptance sets and the associated coherent risk measures. The acceptance sets (market preferences) are modeled using sets of probability measures. The set accepted by all market participants is the intersection of all the sets, which is convex. The size of this set is characterized by an index of acceptabilty. This index of acceptability allows one to speak of cashows acceptable at a level, known as the stress level. The relevant set of probability measures that can value the cashows properly is found through the use of distortion functions. In the first chapter, we introduce the theory of conic finance and build a foundation that leads to the problem and objectives of the thesis. In chapter two, we build on the foundation built in the previous chapter, and we explain in depth the theory of acceptability indices and coherent risk measures. A brief discussion on coherent risk measures is done here since the theory of acceptability indices builds on coherent risk measures. It is also in this chapter, that some new acceptability indices are introduced. In chapter three, focus is shifted to mathematical tools for financial applications. The chapter can be seen as a prerequisite as it bridges the gap from mathematical tools in complete markets to incomplete markets, which is the market that conic finance theory is trying to exploit. As the chapter ends, models used for continuous time modeling and simulations of stochastic processes are presented. In chapter four, the attention is focussed on the numerical methods that are relevant to the thesis. Details on obtaining parameters using the maximum likelihood method and calibrating the parameters to market prices are presented. Next, option pricing by Fourier transform methods is detailed. Finally a discussion on the bid-ask formulas relevant to the thesis is done. Most of the numerical implementations were carried out in Matlab. Chapter five gives an introduction to the world of option trading strategies. Some illustrations are used to try and explain the option trading strategies. Explanations of the possible scenarios at the expiration date for the different option strategies are also included. Chapter six is the appex of the thesis, where results from possible real market scenarios are presented and discussed. Only numerical results were reported on in the thesis. Empirical experiments could not be done due to limitations of availabilty of real market data. The findings from the numerical experiments showed that the spreads from conic finance are reduced. This results in reduced residual risk and reduced low cost of entering into the trading strategies. The thesis ends with formal discussions of the findings in the thesis and some possible directions for further research in chapter seven.
Thesis (MSc (Risk Analysis))--North-West University, Potchefstroom Campus, 2013.

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Fransson, Oskar, and Almqvist Henrik Mark. "Trading Volatility : Trading strategies based on the VIX term structure." Thesis, Umeå universitet, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172989.

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This study investigates how term structure dynamics of VIX futures can be exploited forabnormal returns. To be able to access volatility as a tradeable asset, the trading strategiesonly trades ETFs which are designed to replicate the movements of VIX futures index. Itis established that such ETFs are unsuitable for buy-and-hold investments because of thenegative roll yield it usually suffers, caused by the slope of the VIX term structure.Consequently, these conditions create opportunities for strategies that use direct andinverse VIX ETFs to be profitable. The study is a quantitative study that uses historicalprice data to back test three different trading strategies. The strategies are tested over theperiod 11-oct-2011 to 31-mar-2020. The authors have deliberately chosen to delimit thestudy by not testing the performance of the ETFs, not statistically test the risk-adjustedreturns and not perform a regression to calculate optimal hedge ratios for the strategies.The results from this study shows that its possible for strategies that exploit the termstructure dynamics of VIX futures to generate abnormal returns.

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Mönch, Burkart. "Strategic trading in illiquid markets /." Berlin [u.a.] : Springer, 2005. http://www.loc.gov/catdir/enhancements/fy0663/2005922554-d.html.

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Macret, Deborah Zilberman. "Relação entre volume e volatilidade no mercado acionário brasileiro." reponame:Repositório Institucional do FGV, 2018. http://hdl.handle.net/10438/24823.

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Rejected by Thais Oliveira (thais.oliveira@fgv.br), reason: Boa tarde, Deborah, Para que possamos aprovar, deve incluir a Ficha catalográfica da mesma maneira que lhe foi enviada (o texto fora do quadro deve aparecer também). A única alteração é o número de folhas. Obrigada. on 2018-09-27T17:55:21Z (GMT)
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O presente trabalho procura identificar padrões na volatilidade intraday no mercado de ações brasileiro e, em seguida, traçar uma estratégia trading baseada neles. Em alguns estudos, o comportamento da volatilidade é associado ao comportamento do volume negociado. Este, por sua vez, segue o formato em ’U’ durante o dia - maiores negociações nas horas iniciais e finais, sendo relativamente menor no período intermediário. A partir da análise de ações da carteira Ibovespa, concluímos que o mercado brasileiro segue, também, este comportamento. A estratégia escolhida , então, é vender volatilidade no início do dia e comprá-la no período intermediário. Para isso, utilizamos strangles.
This work seeks to identify patterns in intraday volatility in the Brazilian stock market and then outline a trading strategy based on them. In some studies, the behavior of volatility is associated with the behavior of the volume traded. This, in turn, follows the ’U’ format during the day - larger negotiations in the initial and final hours, being relatively smaller in the intervening period. Based on the analysis of shares of the Ibovespa portfolio, we conclude that the Brazilian market also follows this behavior. The strategy chosen, then, is to sell volatility early in the day and buy it in the intervening period. For this, we use strangles.

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Chen, Ming-ying, and 陳明瑩. "Option Trading Strategies with Transaction Costs." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/41805707557609852735.

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碩士
國立政治大學
應用數學研究所
95
There are many researchers focus on constructing the optimal strategies and propose integer linear programming (ILP) for a series of options which are on the same maturity date with different strike price, but they neglect transaction costs in their models. The transaction costs of options are the handling charge and taxes which investors should pay for trading in the market. The thesis proposes an ILP with transaction costs to construct the optimal strategy for an option portfolio of call- and put- options on the same maturity date with different strike price. We leave the distribution of the variety of stock price out of consideration and extend Yang’s (2004) model and Liu & Liu’s (2006) min-max regret model to construct ILP with proportional, fixed, and mixed transaction costs. Finally, we take the trading data of TXO as an empirical study to test and verify the efficiency of our models. Key words: transaction costs, option trading strategies, integer linear programming, option arbitrage opportunities.

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Bagić, Iva. "Single and combined option trading strategies." Master's thesis, 2011. http://hdl.handle.net/10071/4044.

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Options are financial instruments that give the investors a right to exercise, and not the obligation like other derivatives. That is why they are quite interesting to the investors, and why there are numerous possibilities of creating different payoffs with different risks. This thesis investigates the trading strategies involving options and has a goal to show that the investors can create a certain strategy with desirable profits depending on their own preferences, risk aversion and market expectations. The strategies can be simple, holding only one position in an option, with or with no hold of the underlying asset. As there are more option contracts included, the strategies become more complicated with a higher need of following the market movements in order to reduce potential losses, as well as to take further advantage of favorable market movements by taking follow-up actions if possible.
As opções são instrumentos financeiros que dão aos investidores o direito de exercer, e não a obrigação de o fazer como outros derivados. Esta é a razão pela qual estas são bastante interessantes para os investidores, e porque existem numerosas possibilidades de criar diferentes retornos para diferentes riscos. Esta Tese investiga as estratégias de trading que envolvem opções e que têm o propósito de mostrar que os investidores podem criar uma determinada estratégia com os retornos desejados, dependendo das suas próprias preferências, aversão ao risco e expectativas de mercado. As estratégias podem ser simples, fixando apenas uma posição numa opção, mantendo ou não o activo subjacente. Como existem mais contratos de opções incluídos, as estratégias podem tornar-se mais complicadas com uma maior necessidade de seguir os movimentos de mercado de forma a reduzir perdas possíveis, assim como de aproveitar movimentos de mercado favoráveis através de acções de follow-up, se possível.

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Books on the topic "Option trading strategies"

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High performance options trading: Option volatility & pricing strategies. Hoboken, N.J: J. Wiley, 2003.

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Option trading: Pricing and volatility strategies and techniques. Hoboken, N.J: Wiley, 2010.

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Natenberg, Sheldon. Option volatility & pricing: Advanced trading strategies and techniques. Chicago, Ill: London, 1994.

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Saliba, Anthony J. Option spread strategies: Trading up, down, and sideways markets. New York: Bloomberg Press, 2009.

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Option volatility and pricing strategies: Advanced trading techniques for professionals. Chicago, Ill: Probus, 1988.

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Rhoads, Russell. Option spread trading: A comprehensive guide to strategies and tactics. Hoboken, N.J: Wiley, 2011.

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Rhoads, Russell. Option spread trading: A comprehensive guide to strategies and tactics. Hoboken, NJ: Wiley, 2011.

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Option spread trading: A step-by-step guide to strategies and tactics. Hoboken, NJ: Wiley, 2011.

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1957-, Corona Joseph C., and Johnson Karen E. 1967-, eds. Option strategies for directionless markets: Trading with butterflies, iron butterflies, and condors. New York: Bloomberg Press, 2007.

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Zera, Stephen Paul. Understanding Stock Option Trading Strategies: Using Stock Options to Enhance Your Comfort with Your Investment Portfolio. Place of publisher not identified]: [Publisher not identified], 2010.

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Book chapters on the topic "Option trading strategies"

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Labuszewski, John W., and John E. Nyhoff. "Option Trading Strategies." In The CME Group Risk Management Handbook, 515–67. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118266564.ch13.

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Shonkwiler, Ronald W. "Option Trading Strategies." In Finance with Monte Carlo, 135–64. New York, NY: Springer New York, 2013. http://dx.doi.org/10.1007/978-1-4614-8511-7_5.

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Kakushadze, Zura, and Juan Andrés Serur. "Options." In 151 Trading Strategies, 5–39. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-030-02792-6_2.

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Tompkins, Robert G. "Directional Trading Strategies." In Bund Options, 68–89. London: Palgrave Macmillan UK, 1991. http://dx.doi.org/10.1007/978-1-349-12800-6_4.

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Tompkins, Robert G. "Volatility Trading Strategies." In Bund Options, 90–124. London: Palgrave Macmillan UK, 1991. http://dx.doi.org/10.1007/978-1-349-12800-6_5.

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Tompkins, Robert. "Directional Trading Strategies." In Options Explained, 74–92. London: Palgrave Macmillan UK, 1991. http://dx.doi.org/10.1007/978-1-349-12802-0_4.

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Tompkins, Robert. "Volatility Trading Strategies." In Options Explained, 93–122. London: Palgrave Macmillan UK, 1991. http://dx.doi.org/10.1007/978-1-349-12802-0_5.

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Tompkins, Robert. "Directional Trading Strategies." In Options Explained2, 195–225. London: Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-13636-0_6.

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Tompkins, Robert. "Volatility Trading Strategies." In Options Explained2, 227–75. London: Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-13636-0_7.

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James, Tom. "Options - Trading and Hedging Application Strategies." In Energy Price Risk, 107–24. London: Palgrave Macmillan UK, 2003. http://dx.doi.org/10.1057/9781403946041_5.

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Conference papers on the topic "Option trading strategies"

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Ucar, Ilknur, Ahmet Murat Ozbayoglu, and Mustafa Ucar. "Developing a two level options trading strategy based on option pair optimization of spread strategies with evolutionary algorithms." In 2015 IEEE Congress on Evolutionary Computation (CEC). IEEE, 2015. http://dx.doi.org/10.1109/cec.2015.7257199.

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Jin, Xiaoning, and Jun Ni. "Dynamic Strategies for Preventive Maintenance Scheduling With Throughput Target Variation." In ASME 2012 International Manufacturing Science and Engineering Conference collocated with the 40th North American Manufacturing Research Conference and in participation with the International Conference on Tribology Materials and Processing. American Society of Mechanical Engineers, 2012. http://dx.doi.org/10.1115/msec2012-7384.

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Abstract:

This paper considers a period-review production and preventive maintenance (PM) scheduling problem for manufacturing systems subject to uncertain demand in a finite-horizon. We consider multiple levels of PM which provide the system with flexibility of choosing various types of PM to be adaptive to the throughput target. A model with PM flexibility is proposed to simultaneously determine optimal production quantity and PM level for a single-product manufacturing system. A real option analysis (ROA) is applied to quantify the benefit of PM flexibility so that it can be considered in a cost function. The optimal strategy for a joint maintenance and production system that maximizes the overall expected profit of the system is obtained by a stochastic dynamic programming approach. Results are supported by numerical examples and show the comparison between the proposed PM-flexible model and the conventional PM planning model with single and fixed PM type. Managerial insights are provided on making adaptive PM and production decisions by trading off revenue and costs of corrective actions in different manufacturing applications.

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Chen, Huang-Ming, Hao-Hsuan Chang, Shen-Wei Fang, and Wei-Guang Teng. "Options Trading and Hedging Strategies Based on Market Data Analytics." In 9th International Conference on Computer Science and Information Technology. Aircc Publishing Corporation, 2019. http://dx.doi.org/10.5121/csit.2019.90804.

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