Ahn, Dong-Hyun; Boudoukh, Jacob; Richardson, Matthew; … - Finance Department, Stern School of Business - 1997
This paper provides an analytical solution to the problem of how an institution might optimally manage the market risk of a given exposure, under the assumption that the institution wishes to minimize its Value at Risk (VaR) using options. The solution specifies the VaR-minimizing level of...