L'assurance de portefeuille: Simulations en Visual Basic de portefeuilles visant à reproduire les flux monétaires de stratégies d'options
AbstractIn this paper, we simulate portfolios which aim to insure the invested capital. The object of our simulations is the duplication of the cashflows of strategies based on options. We initially show how to duplicate the cash-flows of a call by using a leveraged portfolio of stocks. After, we simulate another portfolio which aims to replicate a protective put. Finally, we simulate the cushion technique of Black and analyse the sensitivity of the insured portfolio to some parameters like the degree of risk aversion of the investor. We consider the limits of each of the studied strategies.
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Bibliographic InfoPaper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number UQO-DSA-wp0332005.
Length: 30 pages
Date of creation: 23 Nov 2005
Date of revision:
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Financial Engineering; Portfolio Insurance; Monte Carlo simulation.;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-12-09 (All new papers)
- NEP-BEC-2005-12-09 (Business Economics)
- NEP-CMP-2005-12-09 (Computational Economics)
- NEP-FIN-2005-12-09 (Finance)
- NEP-FMK-2005-12-09 (Financial Markets)
- NEP-IAS-2005-12-09 (Insurance Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Simon Benninga, 2000. "Financial Modeling, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262024829, December.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
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