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I did some digging and found the following papers - most of them offering quite a distinct perspective compared to classical option pricing theory!

• Stock Options as Lotteries by Brian H. Boyer et al. (2011)
• The Efficiency of the Buy-Write Strategy: Evidence from Australia by Tafadzwa Mugwagwa et al. (2010)

The following is my favorite: You could do some backtests on your own with freely available data (using the VXO as volatility information) and with any spreadsheet - easy and elegant:

• How Students Can Backtest Madoff’s Claims by Michael J. Stutzer (2009)
• Loosening Your Collar: Alternative Implementations of QQQ Collars by Edward Szado et al. (2009)
• A Study of Optimal Stock & Options Strategies by Mihir Dash et al. (2008)
• Is There Money to Be Made Investing in Options? A Historical Perspective by James S. Doran et al. (2008)

EDIT:
I will update this answer from time to time when new interesting papers arive:

• 15 Years of the Russell 2000 Buy-Write by N. Kapadia and E. Szado (2011)

I did some digging and found the following papers - most of them offering quite a distinct perspective compared to classical option pricing theory!

• Stock Options as Lotteries by Brian H. Boyer et al. (2011)
• The Efficiency of the Buy-Write Strategy: Evidence from Australia by Tafadzwa Mugwagwa et al. (2010)

The following is my favorite: You could do some backtests on your own with freely available data (using the VXO as volatility information) and with any spreadsheet - easy and elegant:

• How Students Can Backtest Madoff’s Claims by Michael J. Stutzer (2009)
• Loosening Your Collar: Alternative Implementations of QQQ Collars by Edward Szado et al. (2009)
• A Study of Optimal Stock & Options Strategies by Mihir Dash et al. (2008)
• Is There Money to Be Made Investing in Options? A Historical Perspective by James S. Doran et al. (2008)

EDIT:
I will update this answer from time to time when new interesting papers arive:

• 15 Years of the Russell 2000 Buy-Write by N. Kapadia and E. Szado (2011)

EDIT 2:
I just published a blog post where I replicate the abovementioned paper by Stutzer (2009):

• Backtesting Options Strategies with R

In the post, I provide the fully documented R code for your own experiments. For details please consult the post.

I did some digging and found the following papers - most of them offering quite a distinct perspective compared to classical option pricing theory!

• Stock Options as Lotteries by Brian H. Boyer et al. (2011)
• The Efficiency of the Buy-Write Strategy: Evidence from Australia by Tafadzwa Mugwagwa et al. (2010)

The following is my favorite: You could do some backtests on your own with freely available data (using the VXO as volatility information) and with any spreadsheet - easy and elegant:

• How Students Can Backtest Madoff’s Claims by Michael J. Stutzer (2009)
• Loosening Your Collar: Alternative Implementations of QQQ Collars by Edward Szado et al. (2009)
• A Study of Optimal Stock & Options Strategies by Mihir Dash et al. (2008)
• Is There Money to Be Made Investing in Options? A Historical Perspective by James S. Doran et al. (2008)

EDIT:
I will update this answer from time to time when new interesting papers arive:

• 15 Years of the Russell 2000 Buy-Write by N. Kapadia and E. Szado (2011)

I did some digging and found the following papers - most of them offering quite a distinct perspective compared to classical option pricing theory!

• Stock Options as Lotteries by Brian H. Boyer et al. (2011)
• The Efficiency of the Buy-Write Strategy: Evidence from Australia by Tafadzwa Mugwagwa et al. (2010)

The following is my favorite: You could do some backtests on your own with freely available data (using the VXO as volatility information) and with any spreadsheet - easy and elegant:

• How Students Can Backtest Madoff’s Claims by Michael J. Stutzer (2009)
• Loosening Your Collar: Alternative Implementations of QQQ Collars by Edward Szado et al. (2009)
• A Study of Optimal Stock & Options Strategies by Mihir Dash et al. (2008)
• Is There Money to Be Made Investing in Options? A Historical Perspective by James S. Doran et al. (2008)

EDIT:
I will update this answer from time to time when new interesting papers arive:

• 15 Years of the Russell 2000 Buy-Write by N. Kapadia and E. Szado (2011)

I did some digging and found the following papers - most of them offering quite a distinct perspective compared to classical option pricing theory!

• Stock Options as Lotteries by Brian H. Boyer et al. (2011)
• The Efficiency of the Buy-Write Strategy: Evidence from Australia by Tafadzwa Mugwagwa et al. (2010)

The following is my favorite: You could do some backtests on your own with freely available data (using the VXO as volatility information) and with any spreadsheet - easy and elegant:

• How Students Can Backtest Madoff’s Claims by Michael J. Stutzer (2009)
• Loosening Your Collar: Alternative Implementations of QQQ Collars by Edward Szado et al. (2009)
• A Study of Optimal Stock & Options Strategies by Mihir Dash et al. (2008)
• Is There Money to Be Made Investing in Options? A Historical Perspective by James S. Doran et al. (2008)

EDIT:
I will update this answer from time to time when new interesting papers arive:

• 15 Years of the Russell 2000 Buy-Write by N. Kapadia and E. Szado (2011)

I did some digging and found the following papers - most of them offering quite a distinct perspective compared to classical option pricing theory!

• Stock Options as Lotteries by Brian H. Boyer et al. (2011)
• The Efficiency of the Buy-Write Strategy: Evidence from Australia by Tafadzwa Mugwagwa et al. (2010)

The following is my favorite: You could do some backtests on your own with freely available data (using the VXO as volatility information) and with any spreadsheet - easy and elegant:

• How Students Can Backtest Madoff’s Claims by Michael J. Stutzer (2009)
• Loosening Your Collar: Alternative Implementations of QQQ Collars by Edward Szado et al. (2009)
• A Study of Optimal Stock & Options Strategies by Mihir Dash et al. (2008)
• Is There Money to Be Made Investing in Options? A Historical Perspective by James S. Doran et al. (2008)

EDIT:
I will update this answer from time to time when new interesting papers arive:

• 15 Years of the Russell 2000 Buy-Write by N. Kapadia and E. Szado (2011)