Optimal Risk Management Using Options
给出了一个机构使用期权最小化风险价值（VaR）来管理市场风险的最优对冲解析解，发现最优期权的执行价格与对冲预算无关，但取决于资产分布、对冲期限和保护水平，且选错执行价格的成本在经济上显著。
This article provides an analytical solution to the problem of an institution optimally managing the market risk of a given exposure by minimizing its Value‐at‐Risk using options. The optimal hedge consists of a position in a single option whose strike price is independent of the level of expense the institution is willing to incur for its hedging program. This optimal strike price depends on the distribution of the asset exposure, the horizon of the hedge, and the level of protection desired by the institution. Moreover, the costs associated with a suboptimal choice of exercise price are economically significant.