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Figlewski et al., 2019 - Google Patents

Volatility leadership among index options

Figlewski et al., 2019

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Document ID
13860291290713424215
Author
Figlewski S
Frommherz A
et al.
Publication year

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Snippet

Equity options are not only an attractive trading vehicle due to the high leverage they offer, they also enable investors to trade their volatility expectations. With high-resolution option data, we analyze the volatility information embedded in index options with different …
Continue reading at people.stern.nyu.edu (PDF) (other versions)

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