Proceedings of the 2022 International Conference on Social Sciences and Humanities and Arts (SSHA 2022)

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.

Download article (PDF)

Volume Title
Proceedings of the 2022 International Conference on Social Sciences and Humanities and Arts (SSHA 2022)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
8 April 2022
ISBN
978-94-6239-560-2
ISSN
2352-5398
DOI
10.2991/assehr.k.220401.209How to use a DOI?
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  -