Linking the performance of vanilla options to the volatility premium

A framework to account for vanilla options' performance in trading strategies is presented

CLICK HERE TO DOWNLOAD THE PDF

The advent of quantitative investing has made it increasingly important to understand the performance drivers of systematic strategies that use derivatives, such as those based on the sale of options. In this paper Olivier Daviaud and Abhishek Mukhopadhyay introduce a new formulaic representation to analyse the performance of delta-hedged vanilla options, and as a by-product provide an explicit link between that performance and the so-called volatility premium

Op

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here