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Construction and hedging of equity index options portfolios
Wysocki, Maciej; Ślepaczuk, Robert - 2024
Persistent link: https://www.econbiz.de/10014634884
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Mispriced Index Option Portfolios
Constantinides, George M.; Czerwonko, Michal; Perrakis, … - 2021
The optimal portfolio of a utility-maximizing investor trading in the S&P 500 index and cash, subject to proportional transaction costs, becomes stochastically dominated when overlaid with a zero-net-cost portfolio of S&P 500 options bought at their ask and written at their bid price in most...
Persistent link: https://www.econbiz.de/10013233758
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Mispriced index option portfolios
Kōnstantinidēs, Giōrgos; Czerwonko, Michal; … - 2017
Persistent link: https://www.econbiz.de/10011732296
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Mispriced Index Option Portfolios
Constantinides, George M. - 2017
The optimal portfolio of a utility-maximizing investor trading in the S&P 500 index and cash, subject to proportional transaction costs, becomes stochastically dominated when overlaid with a zero-net-cost portfolio of S&P 500 options bought at their ask and written at their bid price in most...
Persistent link: https://www.econbiz.de/10012454974
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Mispriced Index Option Portfolios
Constantinides, George M. - 2017
The optimal portfolio of a utility-maximizing investor trading in the S&P 500 index and cash, subject to proportional transaction costs, becomes stochastically dominated when overlaid with a zero-net-cost portfolio of S&P 500 options bought at their ask and written at their bid price in most...
Persistent link: https://www.econbiz.de/10012965783
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Synthetic options, portfolio insurance, and contingent immunization
Lee, Cheng F. - 2024
Persistent link: https://www.econbiz.de/10015050000
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Delta-hedged gains and the negative market volatility risk premium
Bakshi, Gurdip S.; Kapadia, Nikunj - In: The review of financial studies 16 (2003) 2, pp. 527-566
Persistent link: https://www.econbiz.de/10001764238
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Replicating the CBOE VIX using a synthetic volatility index trading algorithm
Cary, Dayne; Van Vuuren, Gary - In: Cogent economics & finance 7 (2019) 1, pp. 1-21
This article tests whether a correlation exists between a stochastic synthetic volatility index (SVIX) and the Chicago … Board Options Exchange (CBOE) volatility index (VIX) and assesses the success of the indicators’ application by pairing an …. The SVIX allows traders to graph volatility as a 100% scale on securities that do not have an official CBOE VIX ticker …
Persistent link: https://www.econbiz.de/10014230463
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Volatilitätsschwankungen und DAX-Optionen : Auswirkungen auf Bewertung und Risikomanagement
Bolek, Adam - 1999
Persistent link: https://www.econbiz.de/10000682737
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Pricing of derivatives on commodity indices
Rauch, Johannes; Krayzler, Mikhail; Brunner, Bernhard; … - In: International review of financial analysis 29 (2013), pp. 143-151
Persistent link: https://www.econbiz.de/10010244113