Journal article | Zeitschriftenartikel

Options trading driven by volatility directional accuracy

Analysts have claimed over the last years that the volatility of an asset is caused solely by the random arrival of new information about the future returns from the underlying asset. It is a common belief that volatility is of great importance in finance and it is one of the critical factors determining option prices and consequently driving option-trading strategies. This paper discusses an empirical option trading methodology based on efficient volatility direction forecasts. Although in most cases accurate volatility forecasts are hard to obtain, forecasting the direction is significantly easier. Increase in the directional accuracy leads to profitable investment strategies. The net gain is depended on the size of the changes as well; however successful volatility forecasts in terms of directional accuracy was found to be sufficient for positive results. In order to evaluate the proposed methodology weekly data from CAX40, DAX and the Greek FTSE/ASE 20 stock indices were used.

Options trading driven by volatility directional accuracy

Urheber*in: Maris, Konstantinos Michael; Nikolopoulos, Konstantinos; Giannelos, Konstantinos George; Assimakopoulos, Vassilis

Rechte vorbehalten - Freier Zugang

0
/
0

Umfang
Seite(n): 253-260
Sprache
Englisch
Anmerkungen
Status: Postprint; begutachtet (peer reviewed)

Erschienen in
Applied Economics, 39(2)

Ereignis
Geistige Schöpfung
(wer)
Maris, Konstantinos Michael
Nikolopoulos, Konstantinos
Giannelos, Konstantinos George
Assimakopoulos, Vassilis
Ereignis
Veröffentlichung
(wann)
2006

DOI
URN
urn:nbn:de:0168-ssoar-239611
Rechteinformation
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
Letzte Aktualisierung
21.06.2024, 16:27 MESZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Zeitschriftenartikel

Beteiligte

  • Maris, Konstantinos Michael
  • Nikolopoulos, Konstantinos
  • Giannelos, Konstantinos George
  • Assimakopoulos, Vassilis

Entstanden

  • 2006

Ähnliche Objekte (12)