New Research Suggests a Reason for Abnormal Returns in Index Put Option Strategies
Professor George Skiadopoulos, has written an opinion piece for the Traders Magazine on his research into the abnormal returns in index put option strategies. He writes: "We provide a new option pricing model that incorporates learning for economic fundamentals. In our model, the agent learns about how the average growth rate of dividends evolves over time, as the growth rate of dividends may change abruptly from time to time due to the occurrence of shocks."
Read the full article on Traders Magazine.