Brunhuemer, Alexander; Larcher, Gerhard; Larcher, Lukas - In: ACRN journal of finance and risk perspectives 10 (2021), pp. 166-203
In this paper, we examine the performance of certain short option trading strategies on the S&P500 with backtesting based on historical option price data. Some of these strategies show significant outperformance in relation to the S&P500 index. We seek to explain this outperformance by modeling...