Similar Search Results

Minimizing the Risk of a Financial Product Using a Put Option

Deelstra, Griselda; Vanmaele, Michèle; Vyncke, David - In: Journal of Risk & Insurance 77 (2010) 4, pp. 767-800

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...

Persistent link: https://www.econbiz.de/10008751810

Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables

Vanmaele, Michèle; Deelstra, Griselda; Liinev, Jan - In: Insurance / Mathematics & economics 35 (2004) 2, pp. 343-368

Persistent link: https://www.econbiz.de/10006879172

Optimal investment strategies in the presence of a minimum guarantee

Deelstra, Griselda; Grasselli, Martino; Koehl, … - In: Insurance / Mathematics & economics 33 (2003) 1, pp. 189

Persistent link: https://www.econbiz.de/10006886811

Bounds for the price of a European-style Asian option in a binary tree model

Reynaerts, Huguette; Vanmaele, Michele; Dhaene, Jan; … - In: European journal of operational research : EJOR 168 (2006) 2, pp. 322-332

Persistent link: https://www.econbiz.de/10006641229

Optimal design of the guarantee for defined contribution funds

Deelstra, Griselda; Grasselli, Martino; Koehl, … - In: Journal of economic dynamics & control 28 (2004) 11, pp. 2239-2260

Persistent link: https://www.econbiz.de/10006755790

Conditional dominance criteria: definition and application to risk-management

Deelstra, Griselda; Grasselli, Martino; Koehl, … - In: Insurance / Mathematics & economics 25 (1999) 3, pp. 295-306

Persistent link: https://www.econbiz.de/10006910262

A note on the properties of the optimal solution(s) of the Greed and Regret problem

Deelstra, Griselda; Petkovic, Alexandre; Vanmaele, Michèle - In: European journal of operational research : EJOR 204 (2010) 3, pp. 690-694

Persistent link: https://www.econbiz.de/10008375397

Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables

Darkiewicz, Grzegorz; Deelstra, Griselda; Dhaene, Jan; … - In: The journal of risk and insurance : the journal of the … 76 (2009) 4, pp. 847-866

Persistent link: https://www.econbiz.de/10008328676

Minimizing the Risk of a Financial Product Using a Put Option

Deelstra, Griselda; Vanmaele, Michèle; Vyncke, David - In: The journal of risk and insurance : the journal of the … 77 (2010) 4, pp. 767-801

Persistent link: https://www.econbiz.de/10008722674

Managing value-at-risk for a bond using bond put options

Deelstra, Griselda; Ezzine, Ahmed; Heyman, Dries; … - In: Computational economics 29 (2007) 2, pp. 139-150

Persistent link: https://www.econbiz.de/10007614491