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Juan Malaver Alvarado

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Optimizing Option Market Clearing

Modern options markets clear each strike in isolation, leaving cross-strike arbitrage unexploited. This thesis applies a payoff-dominant clearing mechanism to realized trades—roughly 2 000 Cboe VIX option executions from June–November 2016—after classifying each trade’s side and bundling by expiration. Three optimizati...

Juan Malaver Alvarado · 0 citations