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I am looking for all kinds of research concerning option trading strategies. With that I mean papers that publish results on different option trading strategies properly backtested with real-world data.

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"real-world data" as opposed to... "fake data" ;) Interesting question though. – SRKX Jul 4 '11 at 6:54
@JSmaga: Well, not artificially created pseudo-random simulation data but historic real option price data. – vonjd Jul 4 '11 at 8:14
funny how much a bounty can actually wake up people.... – SRKX Jul 5 '11 at 14:35
up vote 15 down vote accepted

I did some digging and found the following papers - most of them offering quite a distinct perspective compared to classical option pricing theory!

The following is my favorite: You could do some backtests on your own with freely available data (using the VXO as volatility information) and with any spreadsheet - easy and elegant:

I will update this answer from time to time when new interesting papers arive:

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There seems to be a more recent version of the paper "Madoff Mess Motivates" under the title "How students can backtest Madoff's Claims" which reads very nicely. Edit: heres the link: leeds.colorado.edu/asset/burridge/backtestmadoffsclaims.pdf – user1157 Aug 4 '11 at 12:13
Thank you, I updated the title and link. – vonjd Aug 12 '11 at 9:09

Option Traders Use (very) Sophisticated Heuristics, Never the Black–Scholes–Merton Formula

Stock Price Clustering on Option Expiration Dates

Option Returns and Volatility Mispricing

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I think only the third one is relevant to the question – vonjd Jul 5 '11 at 17:56
@vonjd: The third one (Goyal and Saretto (2007)) is probably one of the best references in this area, IMO. – Tal Fishman Jul 22 '11 at 21:22
And the first one by the Black Swan himself is like reading hieroglyphics. Wow. – strimp099 Oct 1 '11 at 1:54

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