paul wilmott on quantitative finance a trading game

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1、CHAPTER21atradinggameInthisChapter...•Asimplegamesimulatingtradinginoptions21.1INTRODUCTIONAlotofpeoplereadingthisbookwillneverhavetradedoptionsorevenstocks.InthischapterIdescribeaverysimpletradinggamesothatagroupofpeoplecantryouttheirskillwithoutlosi

2、ngtheirshirts.Thegameisbasedonthatbyoneofmyex-students,DavidEpstein.21.2AIMSTheaimsofthisgamearetofamiliarizestudentswiththebasicmarket-tradedderivativecontractsandtopromoteanunderstandingoftheconceptsinvolvedintrading,suchasbid,offer,arbitrageandliqu

3、idity.21.3OBJECTOFTHEGAMETomakemoremoneythanyouropponents.Afterthefinalroundoftrading,eachplayersumsuptheirprofitsandlosses.Theplayerwhohasmadethemostprofitisthewinner.21.4RULESOFTHEGAME1.Oneperson(possiblyalecturer)isthegameorganizerandinchargeofchoosin

4、gthetypesofcontractsavailablefortrading,thenumberandlengthofthetradingrounds,judginganydisputesandjollyingthegamealongduringslackperiods.2.Thetradinggametakesplaceoveranumberofrounds.Attheendofeachround,asix-sideddieisthrown.Afterthelastround,the‘shar

5、eprice’isdeemedtobethesumofallofthedierolls.3.Tradedcontractsmayincludesomeorallofforwards,callsandputsatthediscretionoftheorganizer(Figure21.1).Theorganizermustalsodecidewhatexercisepricesareavailableforcallorputoptions.360PartOnemathematicalandfinanc

6、ialfoundations1510Forward50051015202530−5−10−15Asset1510Call50051015202530Asset1510Put50051015202530AssetFigure21.1Availablecontracts.4.Allcontractsexpireattheendofthefinalround.Thesettlementvalueofeachtradedcontractcanthenbedeterminedbysubstitutingthe

7、sharepriceintotheappropriateformula.Aplayer’sprofitsandlossesoneachtradecanthenbecalculatedandtheresultantprofit/lossistheirfinalscore.5.Duringaround,playerscanoffertobuyorsellanyofthetradedcontracts.Ifanotherplayerchoosestotakethemupontheiroffer,thenthe

8、dealisagreedandbothpartiesmustrecordthetransactionontheirtradingsheet.atradinggameChapter213616.Adealonacontractmustincludethefollowinginformation:•Forward:Forwardpriceandquantity•CallorPut:Typeofoption(callorput),exerciseprice,costandquantity