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Volatility Trading
Volatility Trading
•
P Carr, D Madan,
Towards a Theory of Volatility Trading
, NYU Working Paper, 2002.
•
Demeterfi K, Derman E, Kamal M, Zou J,
"More Than You Ever Wanted To Know About Volatility Swaps"
, March 1999, Goldman Sachs Quantitative Strategies Research Notes.
•
Menachem Brenner, 2001.
"The Price of Options Illiquidity,"
Journal of Finance, American Finance Association, vol. 56(2), pages 789-805, 04.
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