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dc.contributor.authorBasson, L.J.
dc.contributor.authorVan den Berg, Lee
dc.contributor.authorVan Vuuren, Gary
dc.identifier.citationBasson, L.J. et al. 2018. Performance of two zero-cost derivative strategies under different market conditions. Cogent economics and finance, 6(1):1-17. []en_US
dc.identifier.issn2332-2039 (Online)
dc.description.abstractZero-cost collars are option-based strategies which—by matching prices received and paid for the component derivatives—provide costless protection for stock or index investments. The investors’ risk appetite determines a return floor by selecting a relevant put strike and the associated call strike (reverse-engineered from the [known] call value) establishes the index return’s cap. Increasing the floor increases the cap and vice versa. A butterfly strategy involves the purchase of two call options and the sale of two put options. By choosing appropriate strikes, this assembly may also be structured such that it provides a costless investment strategy. Rolling strategies involve the purchase and later sale of the derivative components at a chosen frequency (usually monthly): but the literature has, to date, not explored the potential outcomes for such procedures. Using recent historical data, the effect of different strategy maturities and strike prices on potential index returns (from several jurisdictions) are investigated. The more profitable strategy is strongly influenced by the prevailing market conditionsen_US
dc.publisherTaylor & Francisen_US
dc.subjectZero-cost collaren_US
dc.subjectDerivative strategiesen_US
dc.titlePerformance of two zero-cost derivative strategies under different market conditionsen_US
dc.contributor.researchID12001333 - Van Vuuren, Gary Wayne
dc.contributor.researchID24977284 - Basson, L.J.
dc.contributor.researchID24160105 - Van den Berg, Lee Jonathan

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