One-Dimensional Pricing of CPPI

DOI10.1080/1350486X.2010.486571zbMath1239.91155arXiv0905.2926MaRDI QIDQ2889584

Louis Paulot, Xavier Lacroze

Publication date: 8 June 2012

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.2926

zbMATH Keywords

option pricingportfolio insuranceMarkovgap riskCPPI

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

Model-free CPPI

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model

This page was built for publication: One-Dimensional Pricing of CPPI