Option Surface Statistics With Applications
DB Madan, K Wang - … Journal of Theoretical and Applied Finance, 2022 - World Scientific
At each maturity a discrete return distribution is inferred from option prices. Option pricing
models imply a comparable theoretical distribution. As both the transformed data and the …
models imply a comparable theoretical distribution. As both the transformed data and the …
Dynamic signal selection strategies
This paper concerns the selection of a small number of predictors from a much larger set of
potential stock signals. Selection is based on choosing predictors with high levels of …
potential stock signals. Selection is based on choosing predictors with high levels of …