Volatility cones and volatility arbitrage strategies : empirical study based on SSE ETF option
Hong Yu Xin Pan and Jun Song
| Year of publication: |
2017
|
|---|---|
| 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 | Hedging | Transaktionskosten | Indexderivat | Index derivative | Optionsgeschäft | Option trading | Arbitrage | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/CFRI-05-2016-0041 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011797786