Parameter | Value |
Volatility of the underlying asset price, σ | 0.1 |
Risk-free rate, r | 0.0 |
Lower and upper limits of traded option strikes | $72; $130 |
Differences between strikes | $2.00 |
Underlying asset price on day 1 | $100.00 |
Initial account balance, A0- | $1000.00 |
Commission for one trade, c | $0.001 |
Margin reserve coefficient, b | 5 |
Minimum required portfolio return per year, y, % | 6 |