Download PDF Introduction One of the biggest concerns regarding participants in the market is volatility. Through the years there have been different ways to model volatility in the market, starting with Black-Scholes that assumes constant volatility. Multiple major models have been developed at the scope of modelling volatility as a Read more…
Download PDF Introduction Transaction costs are a critical component of trading strategies, as they can have a significant impact on returns. Institutional investors need to be able to accurately model transaction costs to make informed decisions in backtesting and optimising their strategies. In this article, we will explore the various Read more…
Equity put-option writing strategies represent an alternative to attain equity-like returns with less volatility. In fact, by writing a put-option the seller collects the option premium and gains exposure to value changes in the underlying equity. The Chicago Board Options Exchange (CBOE) publishes already since 2007 daily return data for Read more…