Discuss the below:
Qa) Identify the strategy to which Harrison refers. Examine this strategy using SPX and OEX options that are at- the-money or closest to at-the-money. Some, but not all, of the options used in this strategy can expire onthe nearest expiration date, which is August 18, 2007.
b) In terms of pricing, how do es this strategy compare to the two strategies analyzed in Part IV(attachment)? If yo u mustrecommend one final strategy and index from all six of the combinations investigated in Parts IV and V,what do you recommend and why?
Attachment:- Case Study on Index Options with data.rar