Model-driven statistical arbitrage on LETF option markets (Q5212060)
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scientific article; zbMATH DE number 7157430
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Model-driven statistical arbitrage on LETF option markets |
scientific article; zbMATH DE number 7157430 |
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Model-driven statistical arbitrage on LETF option markets (English)
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24 January 2020
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exchange-traded funds
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options
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implied volatilities
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moneyness scaling
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bootstrap
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dynamic factor models
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trading strategies
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