The Impact of Implied Volatility Fluctuations on Vertical Spread Option Strategies: The Case of WTI Crude Oil Market
This paper aims to analyze the impact of implied volatility on the costs, break-even points (BEPs), and the final results of the vertical spread option strategies (vertical spreads). We considered two main groups of vertical spreads: with limited and unlimited profits. The strategy with limited prof...
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| Principais autores: | , |
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| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
MDPI AG
2020-10-01
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| Serier: | Energies |
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| Online adgang: | https://www.mdpi.com/1996-1073/13/20/5323 |
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