"Volatility spread trading" - Selaus asiasanan mukaanPro gradu -tutkielmat ja diplomityöt
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The Profitability of Volatility Spread Trading on European Equity Options
(2019)
Pro gradu - tutkielmaVolatility is mean-reverting by nature. A large divergence between option implied volatility and long-run historical volatility is a potential signal of option mispricing. Goyal and Saretto (2009) propose an option trading ...