Performance of two zero-cost derivative strategies under different market conditions

Author:

Basson LJ1,van den Berg Lee1,van Vuuren Gary1ORCID

Affiliation:

1. School of Economics, Department of Risk Management, North-West University, Potchefstroom, South Africa

Funder

no direct funding for this research

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance

Reference24 articles.

1. Arunajith, U. (2007, May 14). The zero-cost collar hedging strategy. Retrieved from http://www.sundaytimes.lk/070513/FinancialTimes/ft315.html

2. Hedging of Sales by Zero-cost Collar and its Financial Impact

3. The Pricing of Options and Corporate Liabilities

4. Braddock, J. (1997). Zero cost collars. Retrieved May 14, 2015, from http://www.jcbraddock.com/other/risk_text.html

5. CBOE. (2017). VIX option and futures historical data. Retrieved May 2, 2017, from http://www.cboe.com/micro/vix/historical.aspx

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