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: