Volatility cones and volatility arbitrage strategies : empirical study based on SSE ETF option
Year of publication: |
2017
|
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Authors: | Pan, Hong Yu Xin ; Jun, Song |
Published in: |
China finance review international. - Bingley : Emerald, ISSN 2044-1398, ZDB-ID 2681650-7. - Vol. 7.2017, 2, p. 203-227
|
Subject: | ETF options | Transaction costs | Option hedging | Volatility arbitrage | Volatility cones | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Transaktionskosten | Hedging | Indexderivat | Index derivative | Experiment | Optionsgeschäft | Option trading | Arbitrage | Portfolio-Management | Portfolio selection |
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