Venter, Johannes Hendrik; Jongh, Pieter Juriaan de - In: Risks : open access journal 12 (2024) 8, pp. 1-18
When trading in the call and put contracts of option chains, the portfolios of strikes must be selected. The trader must also decide whether to take long or short positions at the selected strikes. Dynamic strategies for making these decisions are discussed in this paper. On any day, the...
