I would like to backtest an options strategy in R. I require the ability to delta hedge and rebalance to options in the portfolio at different frequencies (daily, monthly,etc.) What packages are the ...
Came across a method involving pairs in the book Hedge Fund Market Wizard: Given a Stock(or Collective of instruments)that follows closely to say Dow index with a beta<1(very short term) but ...
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 ...