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Contents
Contents
Chapter 1. Development of Trading Strategies
1.1. Distinctive Features of Option Trading Strategies
1.1.1. Nonlinearity and Options Evaluation
1.1.2. Limited Period of Options Life
1.2. Market-Neutral Option Trading Strategies
1.2.1. Basic Market-Neutral Strategy
1.2.2. Points and Boundaries of Delta-Neutrality
1.2.3. Analysis of Delta-Neutrality Boundaries
1.2.4. Quantitative Characteristics of Delta-Neutrality Boundaries
1.2.5. Analysis of the Portfolio Structure
1.3. Partially Directional Strategies
1.3.1. Specific Features of Partially Directional Strategies
1.3.2. Embedding the Forecast into the Strategy Structure
