Dynamic volatility trading strategies in the currency option market

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

Authors: Dajiang Guo 

Publication date: 29 October 2013

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

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

zbMATH Keywords

GARCH modelimplied volatilitydeltastraddle-hedgetrading strategies

Mathematics Subject Classification ID

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

Cited In (6)

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

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