Options on constant proportion portfolio insurance with guaranteed minimum equity exposure
| Autor: | Luca Di Persio, Kai Wallbaum, Immacolata Oliva |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Actuarial science
OBPI Stochastic volatility guaranteed minimum equity exposure Equity (finance) option on CPPI Management Science and Operations Research portfolio insurance General Business Management and Accounting Portfolio insurance Modeling and Simulation Constant proportion portfolio insurance CPPI stochastic volatility Economics |
| Zdroj: | Applied Stochastic Models in Business and Industry. 37:98-112 |
| ISSN: | 1526-4025 1524-1904 |
| DOI: | 10.1002/asmb.2547 |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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