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Mcneil, A., Rudiger, R. and Embrechts, P. (2005) Quantitative Risk Management: Concepts, Techniques and Tools. Priceton University Press, Princeton, NJ.

has been cited by the following article:

• 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.