CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (Q3393977): Difference between revisions
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Revision as of 19:09, 5 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES |
scientific article |
Statements
CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (English)
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28 August 2009
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portfolio insurance
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CPPI
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Lévy process
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time-changed Lévy models
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hedging
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CPPI option
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value at risk
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expected loss
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