Ahn, Dong-Hyun; Boudoukh, Jacob; Richardson, Matthew; … - In: Journal of Finance 54 (1999) 1, pp. 359-375
This article provides an analytical solution to the problem of an institution optimally managing the market risk of a given exposure by minimizing its Value-at-Risk using options. The optimal hedge consists of a position in a single option whose strike price is independent of the level of...