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CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES - MaRDI portal

CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (Q3393977)

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CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
scientific article

    Statements

    title
    CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (English)
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    author
    Rama Cont
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    Peter Tankov
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    publication date
    28 August 2009
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    zbMATH Keywords
    portfolio insurance
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    CPPI
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    Lévy process
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    time-changed Lévy models
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    hedging
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    CPPI option
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    value at risk
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    expected loss
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    Identifiers

    zbMATH DE Number
    5599341
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    Wikidata QID
    Q62089382
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    OpenAlex ID
    W3123261697
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