Matches in SemOpenAlex for { <https://semopenalex.org/work/W2227653952> ?p ?o ?g. }
- W2227653952 abstract "Risk-neutral traders executing derivative trades on behalf of portfolio managers maximize their expected profit compared to trading at pre-determined times by timing trades, using the quickly changing risk exposures of derivative baskets. The optimal order submission strategy is a sequence of stop orders with a time-varying stop price. Timing a straddle trade yields up to 20bps per day in a frictionless world, and up to 72bps per day on the S&P500. A CRRA trader is willing to pay up to 51bps of the value of the derivatives to switch from trading at a fixed time to the optimal timing strategy." @default.
- W2227653952 created "2016-06-24" @default.
- W2227653952 creator A5010028222 @default.
- W2227653952 creator A5031126047 @default.
- W2227653952 creator A5074300502 @default.
- W2227653952 date "2015-01-01" @default.
- W2227653952 modified "2023-10-14" @default.
- W2227653952 title "The Option Value in Timing Derivative Trades" @default.
- W2227653952 cites W1509716043 @default.
- W2227653952 cites W1568116564 @default.
- W2227653952 cites W1571438983 @default.
- W2227653952 cites W1978596428 @default.
- W2227653952 cites W1988270113 @default.
- W2227653952 cites W1988359375 @default.
- W2227653952 cites W1992426919 @default.
- W2227653952 cites W1995503011 @default.
- W2227653952 cites W2001770658 @default.
- W2227653952 cites W2011463328 @default.
- W2227653952 cites W2018090882 @default.
- W2227653952 cites W2053030651 @default.
- W2227653952 cites W2081806979 @default.
- W2227653952 cites W2086541121 @default.
- W2227653952 cites W2091458982 @default.
- W2227653952 cites W2106154424 @default.
- W2227653952 cites W2106271302 @default.
- W2227653952 cites W2106757932 @default.
- W2227653952 cites W2108032253 @default.
- W2227653952 cites W2109718988 @default.
- W2227653952 cites W2111502349 @default.
- W2227653952 cites W2127500355 @default.
- W2227653952 cites W2129220488 @default.
- W2227653952 cites W2131938998 @default.
- W2227653952 cites W2141112013 @default.
- W2227653952 cites W2141185104 @default.
- W2227653952 cites W2143263658 @default.
- W2227653952 cites W2144331444 @default.
- W2227653952 cites W2146134639 @default.
- W2227653952 cites W2151733365 @default.
- W2227653952 cites W2152079871 @default.
- W2227653952 cites W2155792697 @default.
- W2227653952 cites W2157296221 @default.
- W2227653952 cites W2159879678 @default.
- W2227653952 cites W2168392234 @default.
- W2227653952 cites W2170962654 @default.
- W2227653952 cites W2209221136 @default.
- W2227653952 cites W3023591372 @default.
- W2227653952 cites W3121174621 @default.
- W2227653952 cites W3121459779 @default.
- W2227653952 cites W3121513733 @default.
- W2227653952 cites W3121572850 @default.
- W2227653952 cites W3121772224 @default.
- W2227653952 cites W3122091515 @default.
- W2227653952 cites W3122611714 @default.
- W2227653952 cites W3122817125 @default.
- W2227653952 cites W3123332101 @default.
- W2227653952 cites W3123686478 @default.
- W2227653952 cites W3124016026 @default.
- W2227653952 cites W3124189939 @default.
- W2227653952 cites W3124461761 @default.
- W2227653952 cites W3124520208 @default.
- W2227653952 cites W3125145202 @default.
- W2227653952 cites W3125311522 @default.
- W2227653952 cites W3125324403 @default.
- W2227653952 cites W604762380 @default.
- W2227653952 cites W785987273 @default.
- W2227653952 doi "https://doi.org/10.2139/ssrn.2575020" @default.
- W2227653952 hasPublicationYear "2015" @default.
- W2227653952 type Work @default.
- W2227653952 sameAs 2227653952 @default.
- W2227653952 citedByCount "0" @default.
- W2227653952 crossrefType "journal-article" @default.
- W2227653952 hasAuthorship W2227653952A5010028222 @default.
- W2227653952 hasAuthorship W2227653952A5031126047 @default.
- W2227653952 hasAuthorship W2227653952A5074300502 @default.
- W2227653952 hasConcept C10138342 @default.
- W2227653952 hasConcept C105795698 @default.
- W2227653952 hasConcept C106159729 @default.
- W2227653952 hasConcept C111771559 @default.
- W2227653952 hasConcept C131562839 @default.
- W2227653952 hasConcept C144133560 @default.
- W2227653952 hasConcept C149782125 @default.
- W2227653952 hasConcept C158876240 @default.
- W2227653952 hasConcept C162118730 @default.
- W2227653952 hasConcept C162324750 @default.
- W2227653952 hasConcept C172428447 @default.
- W2227653952 hasConcept C175444787 @default.
- W2227653952 hasConcept C181622380 @default.
- W2227653952 hasConcept C182306322 @default.
- W2227653952 hasConcept C2776291640 @default.
- W2227653952 hasConcept C2779117054 @default.
- W2227653952 hasConcept C2780821815 @default.
- W2227653952 hasConcept C2780910948 @default.
- W2227653952 hasConcept C33923547 @default.
- W2227653952 hasConcept C78508483 @default.
- W2227653952 hasConceptScore W2227653952C10138342 @default.
- W2227653952 hasConceptScore W2227653952C105795698 @default.
- W2227653952 hasConceptScore W2227653952C106159729 @default.
- W2227653952 hasConceptScore W2227653952C111771559 @default.
- W2227653952 hasConceptScore W2227653952C131562839 @default.
- W2227653952 hasConceptScore W2227653952C144133560 @default.