Dispersion trading: Empirical evidence from U.S. options markets

This paper develops empirical evidence on the viability of a form of volatility trading known as “dispersion trading.” The results shed light on the efficiency with which U.S. options markets price volatility. Using end-of-day implied volatilities extracted from equity option prices for the stocks t...

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Bibliographic details
Volume: 20
Main Author: Marshall, Cara M
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: Greenwich Elsevier Inc 2009
Elsevier
Elsevier B.V
Elsevier Science Ltd
published in: Global finance journal Vol. 20; no. 3; pp. 289 - 301
Data of publication: 2009
ISSN: 1044-0283
1873-5665
EISSN: 1873-5665
Discipline: Business
Series: Global Finance Journal
Subjects:
G14
Online Access: available in Bonn?
Database: RePEc IDEAS
RePEc
CrossRef
Academic OneFile (A&I only)
ProQuest One Business
ProQuest One Business (Alumni)
Database information Databases - DBIS