CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (Q3393977)
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scientific article; zbMATH DE number 5599341
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES |
scientific article; zbMATH DE number 5599341 |
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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0.93086743
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0.92496014
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0.90191984
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0.9018936
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0.87466127
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0.8722826
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0.85293645
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0.8498568
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0.84906876
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0.8482053
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