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Expected Return and Risk of Covered Call Strategies

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References

2016“Options, Futures, and Other Derivatives”5,007 cited
2003The Impact of Jumps in Volatility and Returns1,510 cited
2004Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?991 cited
2010Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities470 cited
2002Return and Risk of CBOE Buy Write Monthly Index114 cited
1984A Simple Formula for the Expected Rate of Return of an Option over a Finite Holding Period59 cited
2006Finding Alpha via Covered Index Writing57 cited

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2011Booms and busts in China's stock market: estimates based on fundamentals26 cited

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