RT Journal Article SR Electronic T1 Effect of Non-Normality Dynamics on the Expected Return of Options JF The Journal of Portfolio Management FD Institutional Investor Journals SP 110 OP 117 DO 10.3905/JPM.2009.35.2.110 VO 35 IS 2 A1 Ilya Figelman YR 2009 UL https://pm-research.com/content/35/2/110.abstract AB The author shows that, somewhat surprisingly, the real world expected value of an at-the-money call option does not increase when stock index returns are assumed to follow a more realistic process that than of geometric Brownian motion. Thus, the fact that instantaneous stock returns are not normally distributed does not detract from the efficacy of covered call (CC) strategies (relative to the stock index), which employ at-the-money call options. The analysis presented in this article concentrates on the efficacy of stock index CC strategies. The stock index process used by the author incorporates stochastic volatility, jumps in returns, and jumps in volatility.TOPICS: Equity portfolio management, statistical methods, volatility measures