Minimizing the risk of a financial product using a put option

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      <subfield code="a">Deelstra, Griselda</subfield>
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      <subfield code="a">Minimizing the risk of a financial product using a put option </subfield>
      <subfield code="c">Griselda Deelstra, Michèle Vanmaele and David Vyncke</subfield>
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      <subfield code="a">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. </subfield>
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      <subfield code="t">The Journal of risk and insurance</subfield>
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      <subfield code="x">0022-4367</subfield>
      <subfield code="g">10/12/2010 Tomo 77 Número 4  - 2010 , p. 767-800</subfield>
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