Examinando por Materia "ARBITRAJE (ECONOMÍA)"

Mostrando 1 - 1 de 1
  • No hay miniatura disponible
    Publicación
    Arbitraje basado en ineficiencias de la sonrisa de volatilidad en opciones europeas sobre el S&P 500
    (Universidad EAFIT, 2025) Torres Moreno, Juan Guillermo; Londoño Agudelo, Simón; Silva, Michael Stepanian
    This study analyzes the use of the implied volatility smile in European options on the S&P 500 to design quantitative arbitrage strategies in derivative markets. It examines how the shape of the smile varies under different volatility regimes and its impact on risk-adjusted profitability. The research will employ historical SPX options data, implied volatility estimates, and quantitative models. The goal is to identify strategies that take advantage of pricing mismatches in options to generate consistent returns in both high and low volatility scenarios. The results will contribute to the development of more efficient trading methodologies in derivative markets.