Simulation Strategy
Comparison of previous team's work and Iron Condor comparison
Row 1 - Spring 2010 optimal policy
Row 2 - Updated 2010 policy with slippage and other assumptions
Row 3 - Spring 2011 optimal policy using the Iron Condor
Terminal wealth ratio (TWR) and days to expiration - Updated Assumptions (slippage)
Prediction Model
Volatility Smile and Skew Illustrated with Difference in Strike Prices
Simulated profit with actual profit
Bear Call and Bull Put Spreads and AverageProfit in an Up trend
To see more please see our Final Report