MENGOPTIMALKAN MANAJEMEN RESIKO DENGAN MENGGUNAKAN OPSI TERTENTU

Adolf Simatupang

Abstract


This study aims to present an analysis of the problem of market risk management so that it is optimal by minimizing Value at Risk (= VaR), in which case the option is used. Optimal hedging is in a single option position where the Strike price is mutually free with the cost level desired by the company at the time of its hedging program. The optimal strike price depends on the distribution of assets, the range (interval) of speculation and the level of protection desired by the institution. Furthermore, the costs associated with suboptimal choice should be the Srtike price economically significant.


Keywords


Cost, European Option, Hedging Ratio, Price Opposition Theory, Value At Risk (Var

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References


Higham, D. . (2004). Financial Option Valuation. Cambridge: Cambridge University Press.


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