Dynamic volatility trading strategies in the currency option market

Review of Derivatives Research

Volumn 4, Issue 2, 2000, Pages 133-154

  Guo, Dajiang ^a,b  

^a Centre Group   (United States)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

Delta; GARCH model; Implied volatility; Straddle hedge, trading strategies

Indexed keywords

EID: 9144227222     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1009638225908     Document Type: Article

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