Options on constant proportion portfolio insurance with guaranteed minimum equity exposure

DOI10.1002/ASMB.2547MaRDI QIDQ6579515zbMATH OpenFDO

Authors Luca Di Persio, I. Oliva, Kai Wallbaum

Publication date 25 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.2547

zbMATH Keywords

CPPIguaranteed minimum equity exposureOBPIoption on CPPIportfolio insurancestochastic volatility

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A comparative study of portfolio insurance.
• Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option
• Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
• Effectiveness of CPPI strategies under discrete-time trading
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Minimum-cost portfolio insurance
• Model-free CPPI
• One-dimensional pricing of CPPI
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Option on a CPPI
• Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
• The volatility target effect in structured investment products with capital protection
• Theory of constant proportion portfolio insurance

Cited in

(1)

• Time-invariant portfolio strategies in structured products with guaranteed minimum equity exposure

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