Log in to Connect, link to Chapter 20, and find there a spreadsheet containing monthly values of
Question:
a. What would have been the average value of your gross monthly payouts on the puts over the 10-year period October 1977-September 1987? The standard deviation?
b. Now extend your sample by one month to include October 1987, and recalculate the average payout and standard deviation of the put-writing strategy.
c. What do you conclude about tail risk in naked put writing?
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Related Book For
Essentials of Investments
ISBN: 978-0077835422
10th edition
Authors: Zvi Bodie, Alex Kane, Alan J. Marcus
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