Hellenic Open University Conferences, International Conference on Business & Economics of the Hellenic Open University 2017

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Financial & Investment strategies to captivate S&P 500 volatility premium
Theodore Syriopoulos, Michael Tsatsaronis, George Alexopoulos

##manager.scheduler.building##: Titania
##manager.scheduler.room##: Platon
Date: 2017-04-22 09:00 AM – 10:45 AM
Last modified: 2017-04-11

Abstract


In order to control the risk including to a portfolio, investors try to diversify using new financial instruments and different asset classes. Like commodities, volatility become a new asset class which added to many portfolios and become an object trading in financial indices and an object of research for a couple of years now. This paper examines the volatility premium of S&P 500 index options and contrasts different investment structures in view of offering option strategies, for example, straddles and strangles using different measures or return and risk. The outcomes demonstrate that the investment strategies used to catch the volatility premium through offering option structures give higher performances contrasted with investing to the S&P 500 benchmark index.


Keywords


Credit flows; volatility; financial development; Black and Scholes; Options;

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