EconPapers    
Economics at your fingertips  
 

Implementing Volatility Trades in the Athens Derivatives Exchange

Georgios Pappas
Additional contact information
Georgios Pappas: London Metropolitan University

Risk and Insurance from EconWPA

Abstract: The purpose of this paper is to demonstrate how investors can benefit from volatility by constructing portfolios of options and futures based on the FTSE/ASE-20 ADEX listed derivatives. Furthermore, this paper provides an insight into the risks associated with such trades as well as addresses the question of whether such a trade can be profitable when transaction costs and margin requirements are taken into account. Its purpose is to serve as a practical guide to trading volatility using data from the Athens Derivative Exchange. The design of an infoormation systems prototype based on selected trades to measure the expected return on each given trade is also demonstrated. You can use Access or SQL to build the prototype.(In this case I used MSAccess)

New Economics Papers: this item is included in nep-fin and nep-fmk
Date: 2004-05-26
Note: Type of Document - pdf; pages: 85
References: View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://econwpa.repec.org/eps/ri/papers/0405/0405001.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpri:0405001

Access Statistics for this paper

More papers in Risk and Insurance from EconWPA
Series data maintained by EconWPA ().

 
Page updated 2015-09-08
Handle: RePEc:wpa:wuwpri:0405001