Analysis of Option Trading Strategies Based on the Relation of Implied and Realized S&P500 Volatilities

Alexander Brunhuemer; Gerhard Larcher; Lukas Larcher

doi:10.35944/jofrp.2021.10.1.010

Analysis of Option Trading Strategies Based on the Relation of Implied and Realized S&P500 Volatilities

Alexander Brunhuemer
, Gerhard Larcher
, Lukas Larcher

Institute of Financial Mathematics and Applied Number Theory

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	166-203
Number of pages	38
Journal	ACRN Journal of Finance and Risk Perspectives
Volume	10
Issue number	1
DOIs	https://doi.org/10.35944/jofrp.2021.10.1.010
Publication status	Published - Oct 2021

Fields of science

101 Mathematics
101007 Financial mathematics
101019 Stochastics
101025 Number theory

JKU Focus areas

Digital Transformation
Transformation in Finance and Financial Institutions

Access to Document

10.35944/jofrp.2021.10.1.010

Cite this

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title = "Analysis of Option Trading Strategies Based on the Relation of Implied and Realized S\&P500 Volatilities",

author = "Alexander Brunhuemer and Gerhard Larcher and Lukas Larcher",

year = "2021",

month = oct,

doi = "10.35944/jofrp.2021.10.1.010",

language = "English",

volume = "10",

pages = "166--203",

journal = "ACRN Journal of Finance and Risk Perspectives",

issn = "2305-7394",

number = "1",

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TY - JOUR

T1 - Analysis of Option Trading Strategies Based on the Relation of Implied and Realized S&P500 Volatilities

AU - Brunhuemer, Alexander

AU - Larcher, Gerhard

AU - Larcher, Lukas

PY - 2021/10

Y1 - 2021/10

UR - https://www.acrn-journals.eu/resources/jofrp10j.pdf

UR - https://www.scopus.com/pages/publications/85116580308

U2 - 10.35944/jofrp.2021.10.1.010

DO - 10.35944/jofrp.2021.10.1.010

M3 - Article

SN - 2305-7394

VL - 10

SP - 166

EP - 203

JO - ACRN Journal of Finance and Risk Perspectives

JF - ACRN Journal of Finance and Risk Perspectives

IS - 1

ER -

Analysis of Option Trading Strategies Based on the Relation of Implied and Realized S&P500 Volatilities

Fields of science

JKU Focus areas

Access to Document

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Cite this