Minimizing the risk of a financial product using a put option
Contenido multimedia no disponible por derechos de autor o por acceso restringido. Contacte con la institución para más información.
| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20100100615 | ||
| 003 | MAP | ||
| 005 | 20101227111607.0 | ||
| 008 | 101210e20101210esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a1 | ||
| 100 | $0MAPA20100064160$aDeelstra, Griselda | ||
| 245 | 0 | 0 | $aMinimizing the risk of a financial product using a put option $cGriselda Deelstra, Michèle Vanmaele and David Vyncke |
| 520 | $aIn this article, authors elaborate a method for determining the optimal strike price for a put option, used to hedge a position in a financial product such as a basket of shares and a bond. This strike price is optimal in the sense that it minimizes, for a given budget, a class of risk measures satisfying certain properties. Formulas are derived for one single underlying as well as for a weighted sum of underlyings. For the latter authors will consider two cases depending on the dependence structure of the components in this weighted sum. Applications and numerical results are presented. | ||
| 650 | 1 | $0MAPA20080588953$aAnálisis de riesgos | |
| 650 | 1 | $0MAPA20080603182$aProductos financieros | |
| 650 | 1 | $0MAPA20080591182$aGerencia de riesgos | |
| 700 | 1 | $0MAPA20080650131$aVanmaele, Michèle | |
| 700 | 1 | $0MAPA20080017996$aVyncke, David | |
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g10/12/2010 Tomo 77 Número 4 - 2010 , p. 767-800 |