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Risk and Return of Equity Index Collar Strategies
5 references·0 citing·17 second hop
Risk and Return of Equity Index Collar Strategies (2016)Risk and Return of Equity Index Collar St…Covered Calls Uncovered (2015)Covered Calls UncoveredFinding Alpha via Covered Index Writing (2006)Finding Alpha via Covered Ind…Demand-Based Option Pricing (2005)Demand-Based Option PricingDoes Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Does Net Buying Pressure Affe…Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)Delta-Hedged Gains and the Ne…Return and Risk of CBOE Buy Write Monthly Index (2002)Expected Return and Risk of Covered Call Strategies (2008)The Cash-secured PutWrite Strategy and Performance of Related Benchmark Indexes (2009)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Option pricing when underlying stock returns are discontinuous (1976)Market Liquidity and Funding Liquidity (2005)Liquidity and Asset Prices (2006)Intermediary asset pricing: New evidence from many asset classes (2017)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Limits of Arbitrage (1995)What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Empirical Investigation of Continuous‐Time Equity Return Models (2002)Tails, Fears, and Risk Premia (2011)Covered Call Strategies: One Fact and Eight Myths (2014)
this work references cited by second hop

References

  • 2004Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?991 cited
  • 2003Delta-Hedged Gains and the Negative Market Volatility Risk Premium934 cited
  • 2005Demand-Based Option Pricing889 cited
  • 2006Finding Alpha via Covered Index Writing57 cited
  • 2015Covered Calls Uncovered34 cited

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