Università della Svizzera italiana

Options trading strategies and equity risk premia

Tedeschini, Davide ; Schneider, Paul (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2018 ; 2018ECO010.

This doctoral thesis examines, from both a theoretical and an empirical perspective, different aspects of the equity derivative markets, such as the appropriate evaluation of equity risk premia and the development of trading strategies based on options. In the first chapter, entitled “Approximate arbitrage with limit orders”, I introduce an almost riskless trading scheme involving two...