Dispersion trading: Empirical evidence from U.S. options markets
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- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
- Joshua D. Coval & Tyler Shumway, 2001. "Expected Option Returns," Journal of Finance, American Finance Association, vol. 56(3), pages 983-1009, June.
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Cited by:
- Oleg Sokolinskiy, 2020. "Conditional dependence in post-crisis markets: dispersion and correlation skew trades," Review of Quantitative Finance and Accounting, Springer, vol. 55(2), pages 389-426, August.
- Lucas Schneider & Johannes Stübinger, 2020. "Dispersion Trading Based on the Explanatory Power of S&P 500 Stock Returns," Mathematics, MDPI, vol. 8(9), pages 1-22, September.
- Ravi Kashyap, 2019. "Concepts, Components and Collections of Trading Strategies and Market Color," Papers 1910.02144, arXiv.org, revised Jan 2020.
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Keywords
Dispersion trading Implied volatility Volatility trading Correlation trading Equity options;Statistics
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