Minimizing the risk of a financial product using a put option

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<dc:creator>Deelstra, Griselda</dc:creator>
<dc:creator>Vanmaele, Michèle</dc:creator>
<dc:creator>Vyncke, David</dc:creator>
<dc:date>2010-12-10</dc:date>
<dc:description xml:lang="es">Sumario: In 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. </dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/127586.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Análisis de riesgos</dc:subject>
<dc:subject xml:lang="es">Productos financieros</dc:subject>
<dc:subject xml:lang="es">Gerencia de riesgos</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Minimizing the risk of a financial product using a put option </dc:title>
<dc:relation xml:lang="es">En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 10/12/2010 Tomo 77 Número 4  - 2010 , p. 767-800</dc:relation>
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