Finance Option Spread Thesis

Finance Option Spread Thesis-84
I'd suggest reading it & then backtracking into the earlier literature on a "need-to-know" basis.

I'd suggest reading it & then backtracking into the earlier literature on a "need-to-know" basis.Back to the top "One man's derivative is another man's underlying." The traditional approach to pricing and hedging options has been to construct a dynamically adjusted portfolio involving the underlying (stock) and some largely risk-free asset.

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Light numerics will get you a long way with this topic (at least if you stay away from that last article).

See Shin 1991 (the basic idea) Shin 1992 (an extension to more than 2 possible outcomes & competing bookmakers; a lot messier but same qualitative result) and Shin 1993 (empirical evidence).

A "fundamental analysis" approach to finding abnormal returns ("good odds/bets") is given by Dixon and Coles.

They "simply" make a statistical model to fit/predict outcomes of football matches & compares to (mis)quoted odds. Well, you can probably find a lot on the web (try some Google-searches), but I might be able to get my hands on "some of the really good stuff" through my connections with Betbrain.

The technology boom of the past couple of decades has given the average trader access to a much wider range of financial products than ever before.


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