Aversion to loss leads many investors to seek tail-protection strategies, and they may turn to
an equity index collar strategy to reduce downside risk. A collar is constructed by offsetting …

Using data from January 18, 1996 to March 31, 2011, we construct and evaluate returns on
a buy-write strategy on the Russell 2000 index. The results demonstrate that the strategy has …

Using data from January, 2003, through August, 2013, we examine the relative performance
of options-based investment strategies versus a buy-and-hold strategy in the underlying …

A generalized lognormal distribution is used to approximate the distribution of the difference
between two CMS rates. Pricing models for CMS spread options with nonzero strike rates …

This article assesses the effectiveness of put spread collar and buy-write strategies as risk
management and return enhancement strategies from a stand-alone perspective and as …

This study investigates the performance of local and global investments with and without
covered call option strategies over the period from January 2000 to December 2015. The …

Using data from January 18, 1996 to March 31, 2011, we construct and evaluate returns on
a buy-write strategy on the Russell 2000 index. The results demonstrate that the strategy has …

Purpose–In this study, the author aims to examine the behavior of QQQ options at the time of
the QQQ move from AMEX to NASDAQ on December 1, 2004. The author addresses the …

An equity portfolio with a collar strategy consists of a long position in the underlying index
together with long put options for insurance and short call options to mitigate the cost of …

In this paper, we study the behaviour of QQQ volatility in the spot and option markets around
QQQ's move from AMEX to NASDAQ on 1 December 2004. We test whether the QQQ option …