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Arbitrage in the Options Market Based on Implied Volatility

Student: Ivan Lobeev

Supervisor: Victoria Rodina

Faculty: Faculty of Economic Sciences

Educational Programme: Economics (Bachelor)

Final Grade: 8

Year of Graduation: 2017

There a many different strategies to invest in options, which based on volatility. This kind of strategies names «volatility trading». In this paper, we are going to consider a case, when option position are delta-hedged by futures, using implied volatility. We research the existence of volatility arbitrage opportunities. The empirical analysis is provided with Russian derivatives marker data. The results demonstrates possibility of volatility arbitrage opportunities, but with some restrictions.

Full text (added May 12, 2017)

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