Dynamic volatility trading strategies in the currency option market

DOI10.1023/A:1009638225908zbMATH Open1274.91381MaRDI QIDQ375324FDOQ375324

Dajiang Guo

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

GARCH modelimplied volatilitydeltastraddle-hedgetrading strategies

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cited In (3)

• Market Timing and Predictability in FX Markets
• On-line VWAP Trading Strategies
• Towards a theory of volatility trading

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