Friday, February 29, 2008

Volatility Trap

Hi,

I am looking for prior research on a volatility trap. A trading strategy, which can be used to trap volatility. If there, any citations please let me know.

Best Regards, Suminda Sirinath Salpitikorala Dharmasena

P.S. Currently I am looking on how manipulate the Greeks, especially delta and implied volatility to get this effect which minimizing cost of implementing such scheme with the minimum monitory cost. - S.S.S.D.

P.P.S. This is linked to my previous post: http://sirinath.blogspot.com/2008/02/volatility-trading.html

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