Racicot, Francois-Éric; Théoret, Raymond - Départment des sciences administratives, Université … - 2005
In 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...