Modeling and Performance of Certain Put-Write
Strategies
Gerhard Larcher, Lucia Del Chicca and Michaela Szölgyenyi
The Journal of Alternative Investments Spring 2013, 15 (4) 74-86; DOI: https://doi.org/10.3905/jai.2013.15.4.074
Gerhard Larcher
is a professor of financial mathematics at the Institute of Financial Mathematics at the Johannes Kepler University in Linz, Austria.
Lucia Del Chicca
is a research assistant at the Institute of Financial Mathematics at the Johannes Kepler University in Linz, Austria.
Michaela Szölgyenyi
is a research assistant and doctoral student at the Institute of Financial Mathematics at the Johannes Kepler University in Linz, Austria.
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In this issue
The Journal of Alternative Investments
Vol. 15, Issue 4
Spring 2013
Modeling and Performance of Certain Put-Write
Strategies
Strategies
Gerhard Larcher, Lucia Del Chicca, Michaela Szölgyenyi
The Journal of Alternative Investments Mar 2013, 15 (4) 74-86; DOI: 10.3905/jai.2013.15.4.074
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- Article
- Abstract
- THE SETUP FOR TESTING THE STRATEGIES
- CHOICE OF PARAMETERS
- CONCRETE EXPERIMENTAL PARAMETERS
- OVERVIEW AND DISCUSSION OF SELECTED TEST RESULTS
- PUT-WRITE STRATEGIES UNDER EXTREME MARKET CONDITIONS, ESPECIALLY THE CRISIS OF 2008
- OUTLOOK, OPEN PROBLEMS, FURTHER FIELDS OF FUTURE RESEARCH
- SUMMARY
- ENDNOTES
- REFERENCES
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