Volatility trade design
Article Abstract:
A study of volatility trades using European options market is presented. The trading and structure of seven volatility trades, i.e., straddles, strangles, option/asset combinations, guts, butterflies, iron butterflies, and condors are examined and the traders' choices and individual strategies in respect thereto are analyzed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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Switching asymmetric GARCH and options on a volatility index
Article Abstract:
A switching regime asymmetric GARCH model is used to demonstrate the generating process of security returns. The values of European call option written on volatility index are computed using Monte Carlo integration. The comparison between models shows that option values from different process are very different.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
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Hedging under the influence of transaction costs: an empirical investigation of FTSE 100 Index Options
Article Abstract:
The development of a neural network model to analyze transactions on Financial Times and London Stock Exchange 100 Index Options between 1992 and 1997 is described. The usage of this model to determine the influence of transaction costs on hedging is discussed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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