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Enhancing trend-following strategies with option selling
Authors:
Jessica James a;
Hetty Colchester b
| Affiliations: | a CitiFX® Risk Advisory Group Investor Strategy, Citigroup, |
| b CitiFX® Risk Advisory Group Analytics, Citigroup, |
DOI:
10.1088/1469-7688/4/1/F01
Publication Frequency:
8 issues per year
Formats available:
PDF
(English)
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Abstract
Jessic James and Hetty Colchester discuss the benefits of switching between strategies in periods of high and los volatility for a variety of currencies.
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