The volatility target effect in structured investment products with capital protection

DOI10.1007/s11147-017-9138-2zbMath1417.91546MaRDI QIDQ1621618

Victoria Steblovskaya, Sergio A. Albeverio, Kai Wallbaum

Publication date: 9 November 2018

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-017-9138-2

zbMATH Keywords

participation rate; pricing of embedded option; structured investment products with capital protection; volatility target strategy

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)