Calendar Arbitrage is a commodity arbitrage strategy that exploits price discrepancies between futures contracts of the same underlying asset but with different expiration dates, by taking offsetting long and short positions to profit from the convergence of spreads over time.
3
Publications
48
Citations
5
Authors
5
Institutions
Publications per year
2017–2026
1
Variants
Horizontal Spread ArbitrageTime Spread Arbitrage
Parents
Publications
3
The extended SSVI volatility surface
Sebas Hendriks, Claude Martini · The Journal of Computational Finance · 2019 · 17 citations
1–3 of 3
Authors
5
- SHSebas Hendriks
1 publications · 17 citations
1
h-index
- RA
1
h-index
- LPLloyd P. Blenman
University of North Carolina at Charlotte, United States
1 publications · 16 citations
1
h-index
- JS
1
h-index
- CMClaude Martini
Institut national de recherche en sciences et technologies du numérique, France
1 publications · 17 citations
1
h-index
1–5 of 5
Institutions
5
University of North Carolina at Charlotte
Charlotte, United States
1 h-index
1 publications
16 citations
University of Wisconsin–Whitewater
Whitewater, United States
1 h-index
1 publications
16 citations
Eastern Illinois University
Charleston, United States
1 h-index
1 publications
15 citations
University of Wisconsin–Oshkosh
Oshkosh, United States
1 h-index
1 publications
15 citations
College of Business Administration
Riga, Latvia
1 h-index
1 publications
15 citations
1–5 of 5
Venues
- Journal of Economics and Finance
JEF · 1 publications · 15 citations
1
h-index
- Financial Review
FR · 1 publications · 16 citations
1
h-index
- The Journal of Computational Finance
1 publications · 17 citations
1
h-index
1–3