Volatility Dispersion Trading
Deng (2008) studies options trading strategies in volatility and options. The abstract mentions profits but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Previous studies have attributed the profits to dispersion trading to the correlation risk premium embedded in index options.”
AssetVolatility and optionsoptions
StrategyOptions strategies
ClaimProfit
InputsFundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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|---|---|---|---|---|---|
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