Timeline for P&L Calculation of Option Strategy
Current License: CC BY-SA 4.0
2 events
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| Sep 9, 2018 at 16:32 | comment | added | Alex C | The key question is how much capital will you employ in this strategy. Without knowing the capital you can't define the return or the risk. If the capital is equal to the strike price (which seems like interesting/reasonable assumption, at least as a starting point) then yes you could define the return as $r_t=\frac{PNL_t}{K}$ | |
| Sep 8, 2018 at 12:53 | history | answered | Vladimir Nabokov | CC BY-SA 4.0 |