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