basic idea is to delta hedge strip of options daily vs delta hedging that same strip of options weekly (other freq intervals applies as well)
slides 14-15
http://www.cboermceurope.com/uploads/1/1/7/2/11724266/day_3_keynote.dupire.pdf
i dont see how the eqn in slide 15 will implement this daily vs weekly realized vol.
fyi
this was briefly discussed indirectly in 2 other threads
Gamma scalping:what volatility are you trading?
Good regime for trend-following and mean-reverting strategies?
the backtest on Dupire's idea does have some nasty drawdowns and periods of non performance.
slides 14-15
http://www.cboermceurope.com/uploads/1/1/7/2/11724266/day_3_keynote.dupire.pdf
i dont see how the eqn in slide 15 will implement this daily vs weekly realized vol.
fyi
this was briefly discussed indirectly in 2 other threads
Gamma scalping:what volatility are you trading?
Good regime for trend-following and mean-reverting strategies?
the backtest on Dupire's idea does have some nasty drawdowns and periods of non performance.