This research was supported by a faculty research grant (FRG1/09-10/035) from the Hong Kong Baptist University. We acknowledge with thanks help received from the Hong Kong Exchanges and Clearing Ltd. in providing the data. The authors thank Bill Fung (the discussant) and participants at the 21st Asia Pacific Futures Research Symposium, particularly Bob Webb (the editor) for constructive comments. We want to thank Douglas Chan of eBrokers Systems Ltd., Amy Cheung of Quantsmile Ltd., and Kevin Cheng of T G Securities Ltd. for many helpful suggestions. We are especially grateful to Paul Draper for generously helping cast the study in its current form. We are of course responsible for any omissions and errors in this study. The views expressed in this study are those of the authors, and do not necessarily reflect those of the Hong Kong Institute for Monetary Research, its Council of Advisors, or the Board of Directors.
The performance of alternative futures buy-write strategies†
Version of Record online: 15 JUN 2011
© 2011 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 31, Issue 12, pages 1202–1227, December 2011
How to Cite
Che, S. Y.S. and Fung, J. K.W. (2011), The performance of alternative futures buy-write strategies. J. Fut. Mark., 31: 1202–1227. doi: 10.1002/fut.20535
- Issue online: 3 OCT 2011
- Version of Record online: 15 JUN 2011
- Manuscript Received: MAY 2011
- Manuscript Accepted: MAY 2011
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