Brunhuemer, Alexander; Larcher, Lukas; Seidl, Philipp; … - In: Risks : open access journal 10 (2022) 12, pp. 1-25
In this paper, we apply machine learning models to execute certain short-option strategies on the S&P500. In particular …, we formulate and focus on a supervised classification task which decides if a plain short straddle on the S&P500 should …