RT Journal Article
SR Electronic
T1 Innovative Option Combinations: <em>Enhancing the Straddle</em>
JF The Journal of Trading
FD Institutional Investor Journals
SP 88
OP 97
DO 10.3905/jot.2010.5.4.088
VO 5
IS 4
A1 Andrew Laubie
YR 2010
UL https://pm-research.com/content/5/4/88.abstract
AB The purpose of this article is to present new combinations of market-neutral option strategies. The advantage of these new models over classic market-neutral option strategies, such as the straddle, is that they can sustain larger volatility swings of the underlying security. The models are derived and additional variations are suggested and compared.TOPICS: Portfolio construction, volatility measures, options