Articles by J. H. Venter
Using option prices to trade the underlying asset
The authors propose strategies with which to trade the underlying assets of options based on large data sets generated by options trading.
Pricing options using expected profit and loss measures
The authors investigate the pricing of options using an EP-EL approach, finding that this methodology generates large amounts of useful information for option traders.
Portfolio allocation based on expected profit and loss measures
The authors formulate the portfolio allocation problem from a trading point of view, allowing both long and short positions and taking trading and interest rate costs into account.