International Journal of Financial Management

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On Volatility Trading & Option Greeks


Affiliations
1 Department of Management Studies, Indian Institute of Technology, Roorkee, Utarakhand, India
     

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Commensurate with this exponential growth in the depth and breadth of derivative markets and the range of financial products traded therein, there needs to be developed a comprehensive mathematical framework to support the, hitherto, empirically established features of trading strategies involving these instruments. It is the objective of this article, to provide a mathematical backup for the various properties of 'volatility trading' strategy using call options. Additionally, an attempt is made to elucidate the implications of behavior of various 'option Greeks' on volatility trading.

Keywords

Financial Derivatives, Trading Strategies, Option Greeks, Black Scholes Model, Volatility Trading.
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Abstract Views: 274

PDF Views: 2




  • On Volatility Trading & Option Greeks

Abstract Views: 274  |  PDF Views: 2

Authors

J. P. Singh
Department of Management Studies, Indian Institute of Technology, Roorkee, Utarakhand, India

Abstract


Commensurate with this exponential growth in the depth and breadth of derivative markets and the range of financial products traded therein, there needs to be developed a comprehensive mathematical framework to support the, hitherto, empirically established features of trading strategies involving these instruments. It is the objective of this article, to provide a mathematical backup for the various properties of 'volatility trading' strategy using call options. Additionally, an attempt is made to elucidate the implications of behavior of various 'option Greeks' on volatility trading.

Keywords


Financial Derivatives, Trading Strategies, Option Greeks, Black Scholes Model, Volatility Trading.

References