Dynamic volatility trading strategies in the currency option market

DOI10.1023/A:1009638225908MaRDI QIDQ375324zbMATH OpenFDO

Authors 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)

Recommendations

• Volatility forecasts and the profitability of automated trading strategies
• Overstatement of implied variance in the dollar/yen currency option market
• Towards a theory of volatility trading
• Quadratic-Variation-Based Dynamic Strategies
• Option-implied volatility spillover indices for FX risk factors

Cited in

(6)

• Overstatement of implied variance in the dollar/yen currency option market
• Market Timing and Predictability in FX Markets
• Towards a theory of volatility trading
• Volatility forecasts and the profitability of automated trading strategies
• Option-implied volatility spillover indices for FX risk factors
• On-line VWAP Trading Strategies

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