Evaluating the Performance of the Protective Put Strategy - Simulation reveals that some seemingly reasonable protective put strategies actually provide very little protection, while strategies that involve buying in-the-money options can produce attractive return profiles.
Year of publication: |
1993
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Authors: | Figlewski, Stephen ; Chidambaran, N.K. ; Kaplan, Scott |
Published in: |
Financial analysts' journal : FAJ. - Charlottesville, Va : CFA Institute, ISSN 0015-198X, ZDB-ID 2194090. - Vol. 49.1993, 4, p. 46-56
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