Option on a CPPI

MaRDI QIDQ3097031zbMATH OpenFDO

Authors M. Escobar, Andreas Kiechle, R. Zagst, L. Seco

Publication date 15 November 2011

Full work available at URL http://www.m-hikari.com/imf-2011/5-8-2011/index.html

zbMATH Keywords

constant proportion portfolio insurancecontinuous and discrete rebalancingEuropean options

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cited in

(8)

• Theory of constant proportion portfolio insurance
• Model-free CPPI
• One-dimensional pricing of CPPI
• A call on art investments
• Pricing and hedging of the defaultable CPPI with jump processes
• Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
• Options on constant proportion portfolio insurance with guaranteed minimum equity exposure
• Constant proportion performance participation

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