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首页> 外文会议>Business and Industry Symposium and 2002 Advanced Simulation Technologies Conference Apr 14-18, 2002 San Diego, California >Analytical Model for Covered Call Option Strategies
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Analytical Model for Covered Call Option Strategies

机译：涵盖看涨期权策略的分析模型

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摘要

Covered call writing is a financial investment strategy that consists of purchasing a preset amount of stock shares and selling a call option for the same amount of underlying stock shares. The covered call writer is, in general, neutral or mildly bullish toward the stock. By using the covered call strategy, the investor always reduces the risk of owning the stock while limiting his profit potential if the price of the underlying stock rises. This paper provides an analytical method for modeling covered call option strategies. Two distinct strategies are considered: 1. the covered call strategy that includes the simultaneous purchase of stock shares and the sale of an out-of-the-money call option for the same amount of shares, and 2. the protected covered call strategy that includes the simultaneous purchased of stock shares, the sale of an out-of-the-money call option, and the purchase of an out-of-the-money put option for the same amount of shares. Analytical expressions are developed for the breakeven stock price and the profit (or loss) realized for each covered call strategy. The analytical model is applied to actual covered call strategies for which the break-even stock prices and the profits (or losses) are computed versus the underlying stock price. The model further allows a quantitative comparison between the two covered call strategies considered. The results show that the proposed analytical model is a valuable predictive tool for determining the breakeven stock prices and the profits (or losses) realized when the covered call strategies are used. Furthermore, the results indicate that the protected covered call is, in general, a more appropriate strategy than the covered call since, although it limits further the upside profit potential, it is very effective in limiting downside risk. Sensitivity analysis results provide a useful insight on the dependence of the break-even stock prices and the maximum profits (or losses) realized on the put option striking price when the protected covered call strategy is used.
机译：承保看涨期权写作是一种金融投资策略，包括购买预设数量的股票并出售相同数量的基础股票的看涨期权。通常情况下，有盖看涨期权的卖空者对该股持中性或轻度看涨的态度。如果标的股票的价格上涨，则通过使用有担保的买入期权策略，投资者总是可以降低拥有股票的风险，同时限制其获利潜力。本文提供了一种用于对涵盖的看涨期权策略进行建模的分析方法。考虑了两种截然不同的策略：1.包括同时购买股票和出售相同数量股票的价外购买期权的受保认购策略，以及2。包括同时购买股票，出售价外的看涨期权，以及购买等额股票的价外看跌期权。针对盈亏平衡点的股价和每种备抵认购策略实现的利润（或亏损）开发了分析表达式。该分析模型适用于实际的承保看涨期权策略，针对该策略计算了损益平衡股票价格和利润（或亏损）相对于基础股票价格。该模型还允许在所考虑的两个涵盖呼叫策略之间进行定量比较。结果表明，所提出的分析模型是确定盈亏平衡股票价格和使用承保看涨期权策略时实现的利润（或亏损）的有价值的预测工具。此外，结果表明，受保护的看涨期权通常比看涨期权更合适，因为尽管它进一步限制了上行获利潜力，但在限制下行风险方面非常有效。敏感度分析结果提供了有用的见解，当使用受保护的看涨期权策略时，损益平衡股票价格和看跌期权行使价实现的最大利润（或损失）的依赖性。

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