Zobrazeno 1 - 2
of 2
pro vyhledávání: '"Lukas Larcher"'
Publikováno v:
ACRN Journal of Finance and Risk Perspectives, Vol 10, Iss 1, Pp 166-203 (2021)
In this paper, we examine the performance of certain short option trading strategies on the S&P500 with backtesting based on historical option price data. Some of these strategies show significant outperformance in relation to the S&P500 index. We se
Externí odkaz:
https://doaj.org/article/4663426e6a55471a9f82a228f9c68ed7
Autor:
Alexander Brunhuemer, Lukas Larcher, Philipp Seidl, Sascha Desmettre, Johannes Kofler, Gerhard Larcher
Publikováno v:
Risks, Vol 10, Iss 12, p 235 (2022)
In this paper, we apply machine learning models to execute certain short-option strategies on the S&P500. In particular, we formulate and focus on a supervised classification task which decides if a plain short straddle on the S&P500 should be execut
Externí odkaz:
https://doaj.org/article/e7886146e540445aa9c3fc5dde40232a