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

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:

I just published a blog post where I replicate the abovementioned paper by Stutzer (2009):

In the post, I provide the fully documented R code for your own experiments. For details please consult the post.

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    $\begingroup$ 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 $\endgroup$ – user1157 Aug 4 '11 at 12:13

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

Stock Price Clustering on Option Expiration Dates

Option Returns and Volatility Mispricing

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

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