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Implementing Volatility Trades in the Athens Derivatives Exchange

Listed author(s):
  • Georgios Pappas

    (London Metropolitan University)

Registered author(s):

    The purpose of this paper is to demonstrate how investors can benefit from volatility by constructing portfolios of options and futures based on the FTSE/ASE-20 ADEX listed derivatives. Furthermore, this paper provides an insight into the risks associated with such trades as well as addresses the question of whether such a trade can be profitable when transaction costs and margin requirements are taken into account. Its purpose is to serve as a practical guide to trading volatility using data from the Athens Derivative Exchange. The design of an infoormation systems prototype based on selected trades to measure the expected return on each given trade is also demonstrated. You can use Access or SQL to build the prototype.(In this case I used MSAccess)

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    Paper provided by EconWPA in its series Risk and Insurance with number 0405001.

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    Length: 85 pages
    Date of creation: 26 May 2004
    Handle: RePEc:wpa:wuwpri:0405001
    Note: Type of Document - pdf; pages: 85
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