TABLE 1
FROM:
Great in practice, not in theory: An empirical examination of covered call writing
Michael L McIntyre and David Jackson
BACK TO ARTICLETable 1. Parameter values
| Economies | |||||
|---|---|---|---|---|---|
| Black–Scholes | Leveraged | CEV | Heston | Jump/Diffusion | |
| S 0 | 100 | 100 | 100 | 100 | 100 |
| V | — | 150 | — | — | — |
| M(t,T) | — | 50 | — | — | — |
| T-t | — | 10 years | — | — | — |
| K 1 | 102% | 102% | 102% | 102% | 102% |
| K 2 | 105% | 105% | 105% | 105% | 105% |
| 0.12 | 0.095 | 0.12 | 0.12 | 0.12 |
| R | 0.05 | 0.05 | 0.05 | 0.05 | 0.05 |
| Q | 0 | 0 | 0 | 0 | 0 |
| — | — | 4/3 | — | 0.13 |
| 0.15 | 0.10 |
| 0.15 |
|
| — | — | — | 0.15 | — |
| — | — | — | 20.0 | 0 |
| — | — | — | 0.10 | — |
| — | — | — | -0.5 | — |
| — | — | — | — | 2 jumps/year |
| — | — | — | — |
|
