PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING

DOI10.1111/J.1467-9965.2006.00276.XzbMATH Open1145.91029OpenAlexW2023866467MaRDI QIDQ5488980FDOQ5488980

Joel M. Vanden

Publication date: 25 September 2006

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00276.x

zbMATH Keywords

regime switchingfree-boundary problemlocal timevolatility clusteringportfolio insurancegeneralized Itô's lemma

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The pricing of options and corporate liabilities
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Theory of constant proportion portfolio insurance
• Uniqueness for diffusions with piecewise constant coefficients
• Prospect theory and asset prices
• A comparative study of portfolio insurance.
• Market volatility and feedback effects from dynamic hedging
• On Feedback Effects from Hedging Derivatives

Cited In (2)

• Portfolio insurance: A simulation under different market conditions
• CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES

This page was built for publication: PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5488980)