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Bridge over ocean
1 September 1993 Financial Analysts Journal Volume 49, Issue 5

Some Formulas for Evaluating Two Popular Option Strategies

  1. Robert Ferguson

This paper presents formulas for the long-term annualized periodic return, the expected annualized periodic return, and the variance of annualized periodic returns for two popular option strategies--stock plus put (portfolio insurance) and stock minus call (covered write). These formulas can be used to resolve several misconceptions about the two strategies.

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