Volatility-based strategy on Chinese equity index ETF options
This study examines the performance of a volatility-based strategy using Chinese equity index ETF options. Initially successful, the strategy's effectiveness waned post-2018. By integrating GARCH models for volatility forecasting, the strategy's positions and exposures are dynamically adjusted. The results indicate that such an approach can enhance returns in volatile markets, suggesting potential for refined trading strategies in China's evolving derivatives landscape. The research underscores the importance of adaptive strategies in capturing market opportunities amidst changing trading dynamics.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Optimal market completion through financial derivatives with applications to volatility risk
This paper investigates the optimal choices of financial derivatives to complete a financial market in the framework of stochastic volatility (SV) models. We introduce an efficient and accurate simulation-based method, a…
Efficient Pricing and Calibration of High-Dimensional Basket Options
This paper studies equity basket options -- i.e., multi-dimensional derivatives whose payoffs depend on the value of a weighted sum of the underlying stocks -- and develops a new and innovative approach to ensure consist…
Vocal Bursts Intensity PredictionDark Matter in (Volatility and) Equity Option Risk Premiums
Emphasizing the statistics of jumps crossing the strike and local time, we develop a decomposition of equity option risk premiums. Operationalizing this theoretical treatment, we equip the pricing kernel process with uns…
Additive normal tempered stable processes for equity derivatives and power law scaling
We introduce a simple model for equity index derivatives. The model generalizes well known L\`evy Normal Tempered Stable processes (e.g. NIG and VG) with time dependent parameters. It accurately fits Equity index implied…
Option Pricing with Stochastic Volatility, Equity Premium, and Interest Rates
This paper presents a new model for options pricing. The Black-Scholes-Merton (BSM) model plays an important role in financial options pricing. However, the BSM model assumes that the risk-free interest rate, volatility,…