Options and Option Strategies: Theory and Empirical Results

DOI10.1142/9789811202391_0083zbMATH Open1454.91293OpenAlexW3080427560MaRDI QIDQ5139513

Cheng-Few Lee

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0083

zbMATH Keywords

put-call paritycollarcovered callcalendar (time) spreadslong calllong putlong straddlelong vertical (bull) spreadprotective putshort callshort putshort straddleshort vertical (bear) spread

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory ⋮ Empirical option pricing: A retrospection ⋮ Optimal trading of stock options under alternative strategy ⋮ Option overlay strategies ⋮ A game theory analysis of options. Contributions to the theory of financial intermediation in continuous time

Uses Software

• Excel

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