One-Dimensional Pricing of CPPI (Q2889584)

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One-Dimensional Pricing of CPPI
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    title
    One-Dimensional Pricing of CPPI (English)
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    author
    Louis Paulot
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    Xavier Lacroze
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    publication date
    8 June 2012
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    zbMATH DE Number
    6043658
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    zbMATH Keywords
    CPPI
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    portfolio insurance
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    option pricing
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    gap risk
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    Markov
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    arXiv ID
    0905.2926
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