Multiple defaults and Merton's model
L Cathcart, L El-Jahel - The journal of fixed income, 2004 - pm-research.com
The majority of multiasset investment portfolios allocate most of their assets to a mix of
stocks and bonds, ostensibly relying on the observed negative correlation between the two …
stocks and bonds, ostensibly relying on the observed negative correlation between the two …
Exploiting the Gap Between Implied and Realized Volatility
J Umarov, E Lütkebohmert… - The Journal of Derivatives, 2024 - pm-research.com
We develop an options trading strategy that takes advantage of the fact that options' implied
volatilities tend to be higher than their realized volatilities. Therefore, we dynamically adjust …
volatilities tend to be higher than their realized volatilities. Therefore, we dynamically adjust …
Effect of covered calls on portfolio performance
T Ježo - 2023 - dspace.cuni.cz
This thesis aims to evaluate the performance of a covered call strategy writ-ten on Exchange-
traded funds compared to a buy-and-hold strategy of the Exchange-traded fund on the US …
traded funds compared to a buy-and-hold strategy of the Exchange-traded fund on the US …
Option-Strategy Indexes: A Powerful Tool for Improving Portfolios.
E Slen, R Rankin, R Lin, T Yiu - Journal of Beta Investment …, 2023 - search.ebscohost.com
The majority of multiasset investment portfolios allocate most of their assets to a mix of
stocks and bonds, ostensibly relying on the observed negative correlation between the two …
stocks and bonds, ostensibly relying on the observed negative correlation between the two …