196 reputation
3
bio website
location
age
visits member for 2 years, 6 months
seen Sep 25 at 18:02

Apr
19
answered How to synchronize put and call option-data?
Apr
19
revised Can you replicate an option on an arbitrary basket of stocks?
added 7 characters in body
Apr
19
revised Can you replicate an option on an arbitrary basket of stocks?
deleted 113 characters in body
Apr
19
comment Can you replicate an option on an arbitrary basket of stocks?
Do you mean you expect the strategy to usually have no correlation risk? Well the point of trading an option on a basket is to create a position in their covariance matrix. Just as the point of trading an option on a single asset is to create a position in the asset's variance (albeit in terms of implied volatility). A covariance matrix is to a basket as scalar variance is to a single asset. That said I imagine you could hedge it to some extent with an option spread.
Apr
18
revised Call option arbitrage opportunity
deleted 8 characters in body
Apr
18
revised Call option arbitrage opportunity
added 9 characters in body
Apr
18
revised Call option arbitrage opportunity
added 9 characters in body
Apr
17
revised Can you replicate an option on an arbitrary basket of stocks?
added 31 characters in body
Apr
17
revised Can you replicate an option on an arbitrary basket of stocks?
added 31 characters in body
Apr
17
revised Can you replicate an option on an arbitrary basket of stocks?
added 254 characters in body
Apr
17
awarded  Editor
Apr
17
revised Can you replicate an option on an arbitrary basket of stocks?
added 254 characters in body
Apr
17
awarded  Teacher
Apr
17
awarded  Supporter
Apr
17
answered Call option arbitrage opportunity
Apr
17
answered Can you replicate an option on an arbitrary basket of stocks?