Minimizing the risk of a financial product using a put...

Enlace persistente
MARCXML Dublin Core RDF MODS Cita bibliográfica BibTeX SWAP METS
 

Imagen del registro

Artículos Artículos Minimizing the risk of a financial product using a put option - Deelstra, Griselda

Colección: Artículos

Título: Minimizing the risk of a financial product using a put option / Griselda Deelstra, Michèle Vanmaele and David Vyncke

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.

Autores secundarios: Vanmaele, Michèle Icono con lupa
Vyncke, David Icono con lupa

Otras clasificaciones: 1

Ver detalle del número Ver detalle del número