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- W2277806504 abstract "This study examines the performances of conventional strategy and dynamic covered-call strategies, including constant and stochastic volatilities environments in Taiwan. In accordance with prior literatures, the covered-call strategy may roughly boost portfolio return in some specific moneyness. The monthly return of the conventional covered-call strategy is slightly more than the pure futures buy-and-hold strategy on the average. The dynamic strategies adjust the moneyness based on different exercise probabilities under constant volatility and stochastic volatility. Finally, this study points out that the advantage of the dynamic strategy under stochastic volatility is more obvious than constant volatility or conventional strategy." @default.
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- W2277806504 date "2014-03-01" @default.
- W2277806504 modified "2023-09-23" @default.
- W2277806504 title "Empirical Performance of Covered-Call Strategy under Stochastic Volatility in Taiwan" @default.
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