Minimizing the risk of a financial product using a put option

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<title>Minimizing the risk of a financial product using a put option</title>
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<namePart>Vanmaele, Michèle</namePart>
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<namePart>Vyncke, David</namePart>
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<abstract displayLabel="Summary">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. </abstract>
<note type="statement of responsibility">Griselda Deelstra, Michèle Vanmaele and David Vyncke</note>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080588953">
<topic>Análisis de riesgos</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080603182">
<topic>Productos financieros</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080591182">
<topic>Gerencia de riesgos</topic>
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<title>The Journal of risk and insurance</title>
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<publisher>Nueva York : The American Risk and Insurance Association, 1964-</publisher>
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<identifier type="issn">0022-4367</identifier>
<identifier type="local">MAP20077000727</identifier>
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<text>10/12/2010 Tomo 77 Número 4  - 2010 , p. 767-800</text>
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