Model-driven statistical arbitrage on LETF option markets
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Publication:5212060
DOI10.1080/14697688.2019.1605186zbMath1429.91326arXiv2009.09713OpenAlexW3103055160WikidataQ127829637 ScholiaQ127829637MaRDI QIDQ5212060
S. Nasekin, Wolfgang Karl Härdle
Publication date: 24 January 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2009.09713
bootstrapoptionstrading strategiesdynamic factor modelsexchange-traded fundsimplied volatilitiesmoneyness scaling
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
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