Optimization of covered call strategies

DOI10.1007/S11590-016-1083-8zbMath1411.91494OpenAlexW2521931003MaRDI QIDQ1676482

Mauricio Diaz, Roy H. Kwon

Publication date: 9 November 2017

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-016-1083-8

zbMATH Keywords

portfolio optimizationcall optionscovered call writing

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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