The Risk and Return of CBOE S&P500 PutWrite Index
碩士 === 國立清華大學 === 計量財務金融系 === 105 === This paper focuses on the return and the risk of one of CBOE options-selling strategies, CBOE S&P 500 PutWrite Index （PUT）. In this strategy, we divide risk into three components, which include passive equity, short volatility and dynamic equity. We will tar...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/geb7p6 |