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1
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2answers
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backtesting options strategies in R

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 ...
0
votes
0answers
149 views

Lagging Beta Strategy

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 ...
11
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3answers
2k views

Papers about backtesting option trading strategies

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 ...