Minimizing the risk of a financial product using a put option
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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 |