| At the start pf the period | At the end of the period | ||||||||||||||
| ζ = 1 + η | Xt | Market | CC Strategy | Market | return | return | STD Strategy | return | return | ||||||
| T-t | Lt | wt | η | ζ | ζwt | Call | Value | Xt | Call | Value | (money) | (%) | MV | (money) | (%) |
| 20 | 100.0 | 70.0 | 0.60 | 1.596 | 111.7 | 41.7 | 70.0 | 122.9 | 49.8 | 73.1 | 3.1 | 4.5% | 77.0 | 7.0 | 10.0% |
| 19 | 102.0 | 73.1 | 0.61 | 1.606 | 117.4 | 44.3 | 73.1 | 129.2 | 52.9 | 76.3 | 3.2 | 4.3% | 84.7 | 7.7 | 10.0% |
| 18 | 104.0 | 76.3 | 0.61 | 1.613 | 123.0 | 46.8 | 76.3 | 135.4 | 55.9 | 79.5 | 3.2 | 4.2% | 93.2 | 8.5 | 10.0% |
| 17 | 106.1 | 79.5 | 0.62 | 1.616 | 128.4 | 49.0 | 79.5 | 141.3 | 58.6 | 82.7 | 3.2 | 4.1% | 102.5 | 9.3 | 10.0% |
| 16 | 108.2 | 82.7 | 0.62 | 1.615 | 133.6 | 50.9 | 82.7 | 147.0 | 61.0 | 86.0 | 3.3 | 4.0% | 112.7 | 10.2 | 10.0% |
| 15 | 110.4 | 86.0 | 0.61 | 1.611 | 138.6 | 52.5 | 86.0 | 152.4 | 63.1 | 89.3 | 3.3 | 3.9% | 124.0 | 11.3 | 10.0% |
| 14 | 112.6 | 89.3 | 0.60 | 1.602 | 143.1 | 53.8 | 89.3 | 157.4 | 64.7 | 92.7 | 3.4 | 3.8% | 136.4 | 12.4 | 10.0% |
| 13 | 114.9 | 92.7 | 0.59 | 1.589 | 147.3 | 54.6 | 92.7 | 162.0 | 65.9 | 96.1 | 3.4 | 3.7% | 150.1 | 13.6 | 10.0% |
| 12 | 117.2 | 96.1 | 0.57 | 1.571 | 151.0 | 54.9 | 96.1 | 166.2 | 66.5 | 99.7 | 3.5 | 3.6% | 165.1 | 15.0 | 10.0% |
| 11 | 119.5 | 99.7 | 0.55 | 1.551 | 154.6 | 54.9 | 99.7 | 170.0 | 66.8 | 103.2 | 3.6 | 3.6% | 181.6 | 16.5 | 10.0% |
| 10 | 121.9 | 103.2 | 0.53 | 1.526 | 157.5 | 54.3 | 103.2 | 173.3 | 66.4 | 106.9 | 3.7 | 3.5% | 199.7 | 18.2 | 10.0% |
| 9 | 124.3 | 106.9 | 0.50 | 1.497 | 160.0 | 53.1 | 106.9 | 176.0 | 65.4 | 110.7 | 3.8 | 3.5% | 219.7 | 20.0 | 10.0% |
| 8 | 126.8 | 110.7 | 0.47 | 1.466 | 162.2 | 51.6 | 110.7 | 178.4 | 63.9 | 114.5 | 3.9 | 3.5% | 241.7 | 22.0 | 10.0% |
| 7 | 129.4 | 114.5 | 0.43 | 1.431 | 163.9 | 49.3 | 114.5 | 180.3 | 61.7 | 118.5 | 4.0 | 3.5% | 265.8 | 24.2 | 10.0% |
| 6 | 131.9 | 118.5 | 0.39 | 1.393 | 165.1 | 46.6 | 118.5 | 181.6 | 58.9 | 122.6 | 4.1 | 3.5% | 292.4 | 26.6 | 10.0% |
| 5 | 134.6 | 122.6 | 0.35 | 1.351 | 165.7 | 43.0 | 122.6 | 182.3 | 55.3 | 126.9 | 4.3 | 3.5% | 321.6 | 29.2 | 10.0% |
| 4 | 137.3 | 126.9 | 0.31 | 1.306 | 165.8 | 38.8 | 126.9 | 182.4 | 50.9 | 131.4 | 4.5 | 3.5% | 353.8 | 32.2 | 10.0% |
| 3 | 140.0 | 131.4 | 0.26 | 1.256 | 165.0 | 33.6 | 131.4 | 181.5 | 45.5 | 136.1 | 4.7 | 3.5% | 389.2 | 35.4 | 10.0% |
| 2 | 142.8 | 136.1 | 0.20 | 1.197 | 162.9 | 26.8 | 136.1 | 179.2 | 38.2 | 141.0 | 4.9 | 3.6% | 428.1 | 38.9 | 10.0% |
| 1 | 145.7 | 141.0 | 0.12 | 1.124 | 158.4 | 17.5 | 141.0 | 174.3 | 28.6 | 145.7 | 4.7 | 3.3% | 470.9 | 42.8 | 10.0% |
| 0 | 148.6 | ||||||||||||||