Model-driven statistical arbitrage on LETF option markets
S. Nasekin and W.K. Härdle
| Year of publication: |
2019
|
|---|---|
| Authors: | Nasekin, Sergey ; Härdle, W. K. |
| Subject: | Bootstrap | Dynamic factor models | Exchange-traded funds | Implied volatilities | Moneyness scaling | Options | Trading strategies | Volatilität | Volatility | Optionsgeschäft | Option trading | Theorie | Theory | Arbitrage | Indexderivat | Index derivative | Bootstrap-Verfahren | Bootstrap approach |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1605186 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015123056