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The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies

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

Abstract

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  • Merton, Robert C & Scholes, Myron S & Gladstein, Mathew L, 1982. "The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies," The Journal of Business, University of Chicago Press, vol. 55(1), pages 1-55, January.
    • Handle: RePEc:ucp:jnlbus:v:55:y:1982:i:1:p:1-55
    DOI: 10.1086/296153
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    Cited by:

    1. Zihan Liu & Ju’e Guo & Shubin Wang & Hongtao Liu, 2018. "Government incentive strategies and private capital participation in China’s Shale gas development," Applied Economics, Taylor & Francis Journals, vol. 50(1), pages 51-64, January.
    2. Santa-Clara, Pedro & Saretto, Alessio, 2009. "Option strategies: Good deals and margin calls," Journal of Financial Markets, Elsevier, vol. 12(3), pages 391-417, August.
    3. Robert C. Merton & Zvi Bodie & Alan Marcus, 1987. "Pension Plan Integration As Insurance Against Social Security Risk," NBER Chapters, in: Issues in Pension Economics, pages 147-172, National Bureau of Economic Research, Inc.
    4. Markus Natter, 2018. "Options‐based benchmark indices—A review of performance and (in)appropriate measures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 271-288, February.
    5. Gary L. Trennepohl & James R. Booth & Hassan Tehranian, 1988. "An Empirical Analysis Of Insured Portfolio Strategies Using Listed Options," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 1-12, March.
    6. Wing-Keung Wong & Howard Thompson & Kweehong Teh, 2011. "Was there Abnormal Trading in the S&P 500 Index Options Prior to the September 11 Attacks?," Multinational Finance Journal, Multinational Finance Journal, vol. 15(1-2), pages 1-46, March - J.
    7. Rosa Ferrentino & Luca Vota, 2022. "A Mathematical Model for the Pricing of Derivative Financial Products: the Role of the Banking Supervision and of the Model Risk," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 11(1), pages 1-2.
    8. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
    9. 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.
    10. L.J. Basson & Sune Ferreira-Schenk & Zandri Dickason-Koekemoer, 2022. "Fractal Dimension Option Hedging Strategy Implementation During Turbulent Market Conditions in Developing and Developed Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 12(2), pages 84-95, March.
    11. Baik, Bok & Kang, Hyoung-Goo & Kim, Young Jun, 2013. "Volatility arbitrage around earnings announcements: Evidence from the Korean equity linked warrants market," Pacific-Basin Finance Journal, Elsevier, vol. 23(C), pages 109-130.
    12. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    13. Adi Ben-Meir & Jeremy Schiff, 2012. "The Variance of Standard Option Returns," Papers 1204.3452, arXiv.org.
    14. Detering, Nils & Packham, Natalie, 2018. "Model risk of contingent claims," IRTG 1792 Discussion Papers 2018-036, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    15. Christophe Faugere & Julian Van Erlach, 2003. "The Equity Premium: Explained by GDP Growth and Consistent with Portfolio Insurance," Finance 0311004, University Library of Munich, Germany.
    16. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.

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