Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/329611 
Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] ACRN Journal of Finance and Risk Perspectives (JOFRP) [ISSN:] 2305-7394 [Volume:] 10 [Year:] 2021 [Pages:] 166-203
Verlag: 
ACRN Oxford Research Network, Oxford
Zusammenfassung: 
In this paper, we examine the performance of certain short option trading strategies on the S&P500 with backtesting based on historical option price data. Some of these strategies show significant outperformance in relation to the S&P500 index. We seek to explain this outperformance by modeling the negative correlation between the S&P500 and its implied volatility (given by the VIX) and through Monte Carlo simulation. We also provide free testing software and give an introduction to its use for readers interested in running further backtests on their own.
Schlagwörter: 
Option-trading
S&P500-index
Implied volatility
Realized volatility
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