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The Returns and Risk of Alternative Call Option Portfolio Investment Strategies

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  • Merton, Robert C
  • Scholes, Myron S
  • Gladstein, Mathew L

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Bibliographic Info

Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 51 (1978)
Issue (Month): 2 (April)
Pages: 183-242

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Handle: RePEc:ucp:jnlbus:v:51:y:1978:i:2:p:183-242

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Web page: http://www.journals.uchicago.edu/JB/

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Cited by:
  1. Ren-Raw Chen & Oded Palmon, 2005. "A Non-Parametric Option Pricing Model: Theory and Empirical Evidence," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 115-134, January.
  2. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
  3. Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2002. "Model Risk and Regulatory Capital," Discussion Paper 2002-27, Tilburg University, Center for Economic Research.
  4. J. Board & C. Sutcliffe & E. Patrinos, 2000. "The performance of covered calls," The European Journal of Finance, Taylor & Francis Journals, vol. 6(1), pages 1-17.
  5. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
  6. Lucas, Andr‚ & Dert, Cees L., 1998. "On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework," Serie Research Memoranda 0057, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  7. Charles Cao & Eric Ghysels & Frank Hatheway, 2001. "Derivatives Do Affect Mutual Funds Returns : How and When?," CIRANO Working Papers 2001s-62, CIRANO.
  8. Liu, Jun & Pan, Jun, 2003. "Dynamic Derivative Strategies," Working papers 4334-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  9. Jennifer Koski & Jeffrey Pontiff, 1996. "How Are Derivatives Used? Evidence from the Mutual Fund Industry," Center for Financial Institutions Working Papers 96-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
  10. Guo, Weiyu, 2004. "Some evidence in the trading and pricing of equity LEAPS," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 407-426.
  11. Rafiqul Bhuyan, 2002. "Information, Alternative Markets, and Security Price Processes: A Survey of Literature," Finance 0211002, EconWPA.
  12. Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management qt0499w44p, Anderson Graduate School of Management, UCLA.
  13. Adi Ben-Meir & Jeremy Schiff, 2012. "The Variance of Standard Option Returns," Papers 1204.3452, arXiv.org.

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