Интересные статьи об опционах

Robert G. Tompkins. Implied volatility surfaces: uncovering regularities for options on financial futures.

David P. Simon, Jim Campasano.  The VIX Futures Basis: Evidence and Trading Strategies.

Goldman Sachs. The Art of Put Selling: A 10 year study.

Edward Szado. VIX Futures and Options – A Case Study of Portfolio Diversification During the 2008 Financial Crisis.

Juan Aguirre Bueno. Trading the volatility skew of the options on the S&P index.

Espen Gaarder Haug, Nassim Nicholas Taleb. Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula.

Charles J. Corrado. Why we have always used the Black-Scholes-Merton option pricing formula.

Espen Gaarder Haug, Nassim Nicholas Taleb. Option traders use (very) sophisticated heuristics, never the Black–Scholes–Merton formula.

J. Scott Chaput, Louis H. Ederington. Vertical spread design.

J. Scott Chaput, Louis H. Ederington. Volatility trade design.

J. Scott Chaput, Louis H. Ederington. Option Spread and Combination Trading.

Sophie Xiaoyan Ni, NeilD. Pearson, Allen M. Poteshman. Stock Price Clustering on Option Expiration Dates.

Gautam Kaul, M. Nimalendran, Donghang Zhang. Informed Trading and Option Spreads.

Louis H.Ederington, Wei Guan. Forecasting Volatility.

R.J. O’Brien research. De–Mystifying the “greeks”.

R.J. O’Brien research. Trading near-expiration options in agricultural commodities.

R.J. O’Brien research. Volatility trading in agricultural options.

R.J. O’Brien research. Delta-neutral tradin g in agricultural options.

R.J. O’Brien research. Digging deeper into the volatility aspects of agricultural options.

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