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Study on the Validity of Volatility Trading

This study examines the role of volatility mean reversion in option pricing and evaluates the performance of commonly used volatility estimators within a broad market context. Using a comprehensive dataset of end-of-day option chains for the 100 most actively traded U.S. equities from 2018 to 2023,...

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Gardado en:
Principais autores: Alberto Castillo, Jose Manuel Mira Mcwilliams
Formato: Artigo
Idioma:Inglês
Publicado: MDPI AG 2026-03-01
Series:FinTech
Assuntos:
mean reversion
implied volatility
realized volatility
options
trading
half-life
Acceso en liña:https://www.mdpi.com/2674-1032/5/1/26
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