The performance of covered calls

J Board, C Sutcliffe, E Patrinos - The European Journal of Finance, 2000 - Taylor & Francis
Writing call options against long positions in the underlying equities is the most popular
options strategy. Since the variance is an inadequate measure of risk for options strategies …

Hedged dividend capture with stock index options

TL Zivney, MJ Alderson - Financial Management, 1986 - JSTOR
Option contracts on portfolios of securities represent a new development in financial
markets. The purpose of this paper is to explore the characteristics of dividend capture with …

Covered options: an alternative investment strategy

PA Mueller - Financial Management, 1981 - JSTOR
This study focuses on the selling of covered call options and its impact on portfolio return
and risk. The results demonstrate that it is advantageous to the investor to sell covered three …

Optimal cross-hedge portfolios for hedging stock index options

MJ Alderson, TL Zivney - The Journal of Futures Markets …, 1989 - search.proquest.com
for Hedging Stock Index Options Page 1 Optimal Cross-Hedge Portfolios for Hedging Stock
Index Options Michael J. Alderson Terry L. Zivney () overed call writing is a popular investment …

[CITATION][C] Options markets

JC Cox, M Rubinstein - (No Title), 1985 - cir.nii.ac.jp
Options markets | CiNii Research CiNii 国立情報学研究所 学術情報ナビゲータ[サイニィ] 詳細へ
移動 検索フォームへ移動 論文・データをさがす 大学図書館の本をさがす 日本の博士論文をさがす …

Risk measures of options in continuous and discrete models

CF Lee, PG Zhang - New Directions in Finance, 2018 - taylorfrancis.com
This chapter reviews the traditional risk measures based on the Fisher Black and M. Scholes
continuous model and finds the limitations of these measures. It explains the corresponding …

Hedging Performance of Protective Puts and Covered Calls Portfolio: A Study of NSE Nifty Options

D Misra, R Dalmia - Management Dynamics, 2007 - managementdynamics …
This paper aims at analyzing the return and risk characteristics of covered call and protective
puts portfolios based on NSE Nifty index and to find out the factors responsible for the …

[BOOK][B] Two essays in finance: A test of the random walk hypothesis. An examination of covered call strategies

KP Kneafsey - 1999 - search.proquest.com
Abstract The Random Walk Hypothesis (RWH) when applied to stock prices makes strong
statements about such things as serial correlation and momentum in stock returns and about …

New Developments in Financial Management Hedged Dividend Capture with Stock Index Options

TL Zivney, MJ Alderson - Financial Management (1986), 1986 - search.proquest.com
The 85% exclusion for dividends received by a corporation is a well known aspect of
business finance. For companies facing a 46% marginal tax rate, this exclusion reduces the …

[CITATION][C] AN EMPIRICAL TEST OF OPTION WRITING AND BUYING STRATEGIES UTILIZING IN‐THE‐MONEY AND OUT‐OF‐THE‐MONEY CONTRACTS: AN …

GL Trennepohl, WP Dukes - Journal of Business Finance & …, 1981 - Wiley Online Library
Since the Chicago Board Options Exchange (CBOE) opened in 1973, research concerning
listed options has attempted to identify profitable option trading strategies. Merton, Scholes …