Constant proportion portfolio insurance under a regime switching exponential Lévy process (Q2443230)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Constant proportion portfolio insurance under a regime switching exponential Lévy process |
scientific article |
Statements
Constant proportion portfolio insurance under a regime switching exponential Lévy process (English)
0 references
4 April 2014
0 references
constant proportion portfolio insurance
0 references
regime switching
0 references
exponential Lévy process
0 references
shortfall
0 references
gap risk
0 references
matrix exponential
0 references
0 references
0 references
0 references
