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Minimizing the risk of a financial product using a put option

Griselda Deelstra, Michèle Vanmaele UGent and David Vyncke UGent (2010) JOURNAL OF RISK AND INSURANCE. 77(4). p.767-800
abstract
In this article, we 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 we will consider two cases depending on the dependence structure of the components in this weighted sum. Applications and numerical results are presented.
Please use this url to cite or link to this publication:
author
organization
year
type
journalArticle (original)
publication status
published
subject
keyword
MANAGEMENT, SUMS, RANDOM-VARIABLES, BOUNDS, COMONOTONICITY, ACTUARIAL SCIENCE
journal title
JOURNAL OF RISK AND INSURANCE
J. Risk Insur.
volume
77
issue
4
pages
767 - 800
Web of Science type
Article
Web of Science id
000284278900003
JCR category
ECONOMICS
JCR impact factor
1.092 (2010)
JCR rank
97/301 (2010)
JCR quartile
2 (2010)
ISSN
0022-4367
DOI
10.1111/j.1539-6975.2010.01365.x
language
English
UGent publication?
yes
classification
A1
copyright statement
I have transferred the copyright for this publication to the publisher
id
1245600
handle
http://hdl.handle.net/1854/LU-1245600
date created
2011-05-27 13:59:58
date last changed
2017-09-20 10:47:20
@article{1245600,
  abstract     = {In this article, we 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 we will consider two cases depending on the dependence structure of the components in this weighted sum. Applications and numerical results are presented.},
  author       = {Deelstra, Griselda and Vanmaele, Mich{\`e}le and Vyncke, David},
  issn         = {0022-4367},
  journal      = {JOURNAL OF RISK AND INSURANCE},
  keyword      = {MANAGEMENT,SUMS,RANDOM-VARIABLES,BOUNDS,COMONOTONICITY,ACTUARIAL SCIENCE},
  language     = {eng},
  number       = {4},
  pages        = {767--800},
  title        = {Minimizing the risk of a financial product using a put option},
  url          = {http://dx.doi.org/10.1111/j.1539-6975.2010.01365.x},
  volume       = {77},
  year         = {2010},
}

Chicago
Deelstra, Griselda, Michèle Vanmaele, and David Vyncke. 2010. “Minimizing the Risk of a Financial Product Using a Put Option.” Journal of Risk and Insurance 77 (4): 767–800.
APA
Deelstra, G., Vanmaele, M., & Vyncke, D. (2010). Minimizing the risk of a financial product using a put option. JOURNAL OF RISK AND INSURANCE, 77(4), 767–800.
Vancouver
1.
Deelstra G, Vanmaele M, Vyncke D. Minimizing the risk of a financial product using a put option. JOURNAL OF RISK AND INSURANCE. 2010;77(4):767–800.
MLA
Deelstra, Griselda, Michèle Vanmaele, and David Vyncke. “Minimizing the Risk of a Financial Product Using a Put Option.” JOURNAL OF RISK AND INSURANCE 77.4 (2010): 767–800. Print.