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Minimizing the risk of a financial product using a put option

Recurso electrónico / electronic resource
Registro MARC
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100  ‎$0‎MAPA20100064160‎$a‎Deelstra, Griselda
24500‎$a‎Minimizing the risk of a financial product using a put option ‎$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
7001 ‎$0‎MAPA20080650131‎$a‎Vanmaele, Michèle
7001 ‎$0‎MAPA20080017996‎$a‎Vyncke, David
7730 ‎$w‎MAP20077000727‎$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