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Derivatives and Risk Management, 1st Edition
book

Derivatives and Risk Management, 1st Edition

by Sundaram Janakiramanan
May 2024
Intermediate to advanced content levelIntermediate to advanced
542 pages
27h 26m
English
Pearson India
Content preview from Derivatives and Risk Management, 1st Edition
Greeks in Options 459
18.10 Creating Portfolio Insurance Using Synthetic Puts
In Chapter 13, it was seen that portfolio insurance can be obtained by using a protective put strategy. In
a protective put strategy, it was seen that portfolio insurance can be provided by combining a put option
with a stock, as any decrease in the stock price will be exactly oset by an increase in the value of the put
such that a minimum value of the portfolio will be maintained if the stock price is below the exercise price
and the value of the portfolio will increase by INR 1 for each INR 1 increase in the stock price. is is how
portfolio insurance is provided. ...
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Publisher Resources

ISBN: 9781299447547Publisher Website