Silvan Herriger

Universität St. Gallen

Rosenbergstrasse 52

CH-9000 St.Gallen

Switzerland

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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
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Abstract:

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