Mr . Madoff ’ s Amazing Returns : An Analysis of the Split-Strike Conversion Strategy

@inproceedings{Bernard2009MrM,
  title={Mr . Madoff ’ s Amazing Returns : An Analysis of the Split-Strike Conversion Strategy},
  author={Carole Bernard and Phelim P. Boyle},
  year={2009}
}
It is now known that the very impressive investment returns generated by Bernie Madoff were based on a sophisticated Ponzi scheme. Madoff claimed to use a splitstrike conversion strategy. This strategy consists of a long equity position plus a long put and a short call. In this paper we examine Madoff’s returns and compare his investment performance with what could have been obtained using a split-strike conversion strategy based on the historical data. We also analyze the split-strike strategy… 

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