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This paper evaluates the profitability of applying four different volatility forecasting models to the trading of straddles on the German stock market index DAX. Special care has been taken to use simultaneous intra-day prices and realistic transaction costs. Furthermore, straddle positions were...
Persistent link: https://www.econbiz.de/10010299679
Persistent link: https://www.econbiz.de/10001242258
This paper evaluates the profitability of applying four different volatility forecasting models to the trading of straddles on the German stock market index DAX. Special care has been taken to use simultaneous intra-day prices and realistic transaction costs. Furthermore, straddle positions were...
Persistent link: https://www.econbiz.de/10011622744
Persistent link: https://www.econbiz.de/10004338012
Persistent link: https://www.econbiz.de/10007364016
This paper evaluates the profitability of applying four different volatility forecasting models to the trading of straddles on the German stock market index DAX. Special care has been taken to use simultaneous intra-day prices and realistic transaction costs. Furthermore, straddle positions were...
Persistent link: https://www.econbiz.de/10008567529