Minimizing the risk of a financial product using a put option

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Título: Minimizing the risk of a financial product using a put option / Griselda Deelstra, Michèle Vanmaele and David Vyncke
Autor: Deelstra, Griselda
Notas: 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.
Registros relacionados: 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
Materia / lugar / evento: Análisis de riesgos Productos financieros Gerencia de riesgos
Autores secundarios: Vanmaele, Michèle
Vyncke, David
Otras clasificaciones: 1
Derechos: In Copyright (InC):
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