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.
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