Silvan Herriger

Universität St. Gallen

Rosenbergstrasse 52

CH-9000 St.Gallen

Switzerland

SCHOLARLY PAPERS

1

DOWNLOADS
Rank 14,330

SSRN RANKINGS

Top 14,330

in Total Papers Downloads

3,390

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

Relative Implied Volatility Arbitrage with Index Options

University of St. Gallen, Department of Economics Working Paper No. 2001-06, Financial Analysts Journal, Vol. 58, No. 6, November/December 2002
Number of pages: 36 Posted: 20 Jun 2003
Manuel Ammann and Silvan Herriger
University of St. Gallen - School of Finance and Universität St. Gallen
Downloads 3,390 (3,019)

Abstract:

Loading...

Statistical arbitrage, index options, relative implied volatility, market efficiency