Algorithmic Trading and Prediction of Foreign Exchange Rates Based on the Option Expiration Effect
The equity option expiration effect is a well observed phenomenon and is explained by delta hedge rebalancing and pinning risk, which makes the strike price of an option work as a magnet for the underlying price. The FX option expiration effect has not previously been explored to the same extent. In...
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Format: | Others |
Language: | English |
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KTH, Matematisk statistik
2019
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Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252297 |