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Keywords: Volatility cones
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Journal Articles
Volatility cones and volatility arbitrage strategies – empirical study based on SSE ETF option
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2017) 7 (2): 203–227.
Published: 15 May 2017
...Hong Yu Xin Pan; Jun Song Purpose Using volatility cones as the estimate of actual volatility instead of GARCH models, the purpose of this paper is to explore whether volatility arbitrage strategy can provide positive profits and how the transaction costs existed in the real market affect...
