Relative implied-volatility arbitrage with index options

Financial Analysts Journal

Volumn 58, Issue 6, 2002, Pages 42-55

  Ammann, Manuel ^a   Herriger, Silvan ^b  

^a UNIVERSITY OF ST GALLEN   (Switzerland)

^b JP Morgan   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 20444481383     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v58.n6.2485     Document Type: Article

References (17)

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