Optimization of covered call strategies

Author:

Diaz Mauricio,Kwon Roy H.

Funder

Mitacs

Publisher

Springer Science and Business Media LLC

Subject

Control and Optimization

Reference12 articles.

1. Callan Associates: An historical evaluation of the CBOE S&P 500 BuyWrite Index strategy (2006). www.cboe.com/micro/bxm/Callan_CBOE.pdf

2. Che, S.Y.S., Fung, J.K.W.: The performance of alternative futures buy-write strategies. J. Futur. Mark. 31(12), 1202–1227 (2011)

3. Chicago Board Options Exchange: Description of the CBOE S&P 500 BuyWrite Index (2010). www.cboe.com/micro/bxm/BXMDescription-Methodology.pdf

4. Eraker, B., Johannes, M., Polson, N.: The impact of jumps in volatility and returns. J. Finance 58(3), 1269–1300 (2003)

5. Feldman, B.E., Roy, D.: Passive options-based investment strategies: the case of the CBOE S&P 500 BuyWrite Index. ETFs Index. 1, 72–89 (2004)

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