Replication package for "Systematic Index Option-Writing Strategies with Black-Scholes-Merton and Variance-Gamma Models"
Published: 7 July 2025| Version 1 | DOI: 10.17632/nshpmx7jmn.1
Contributors:
, Description
This package contains the data and code necessary to replicate the results from the paper "Systematic Index Option-Writing Strategies with Black-Scholes-Merton and Variance-Gamma Models" by Maciej Wysocki and Robert Ślepaczuk, PhD.
Files
Steps to reproduce
See readme.txt for all relevant information.
Institutions
- Uniwersytet Warszawski
Categories
Finance, Stock Exchange, Mathematical Finance, Computational Finance