/Shiyuan_LF

low frequency option selling strategies

Primary LanguagePython

Shiyuan Low Frequency Strategies

apply the largest source of beta in volatility trading: the variance premium

1 Volatility Measure

Close-to-Close Estimator

Parkinson Estimator

Garman-Klass Estimator

Roger-Satchell Estimator

Yang-Zhang Estimator

2 Pricing