TITLE:
The Performance of Option-Based Portfolio Insurance on a Dividend Payment Stock
AUTHORS:
Paulina Nangolo, Elias Rabson Offen, Othusitse Basmanebothe
KEYWORDS:
Portfolio Insurance, Option-Based Portfolio Insurance, Black-Scholes Model, European Option
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.13 No.2,
May
25,
2023
ABSTRACT: Portfolio insurance is a type of hedging which is a dynamic investment strategy that is designed to guarantee the portfolio value at maturity or up to maturity to be greater or equal to a given lower bond (floor). We analyse the efficiency and the performance of option-based portfolio insurance, by employing two strategies to determine the numbers of stocks, put options, bond value and call options in such a way that the floor value is always protected. Furthermore, we compare the insured versus the non-insured portfolio value.