Index volatility arbitrage is a strategy whereby an investor buys options on the index (e.g. S&P 500, Nikkei) and sells options in the constituent stocks, or sells index options and buys options on the constituent stocks.

The key issues with this strategy are: - Transaction costs - Descreteness both in the index options and constituents - Continuous delta hedging

$$ \frac{\nabla P}{\dC} $$

The html_vignette format:

Vignette Info

Note the various macros within the vignette section of the metadata block above. These are required in order to instruct R how to build the vignette. Note that you should change the title field and the \VignetteIndexEntry to match the title of your vignette.

Styles

The html_vignette template includes a basic CSS theme. To override this theme you can specify your own CSS in the document metadata as follows:

output: 
  rmarkdown::html_vignette:
    css: mystyles.css

Figures

The figure sizes have been customised so that you can easily put two images side-by-side.

plot(1:10)
plot(10:1)

You can enable figure captions by fig_caption: yes in YAML:

output:
  rmarkdown::html_vignette:
    fig_caption: yes

Then you can use the chunk option fig.cap = "Your figure caption." in knitr.

More Examples

You can write math expressions, e.g. $Y = X\beta + \epsilon$, footnotes^[A footnote here.], and tables, e.g. using knitr::kable().

knitr::kable(head(mtcars, 10))

Also a quote using >:

"He who gives up [code] safety for [code] speed deserves neither." (via)



Amuraivel/tradeMaster documentation built on May 5, 2019, 4:56 a.m.