The volatility target effect in structured investment products with capital protection

DOI10.1007/s11147-017-9138-2zbMath1417.91546OpenAlexW2745884581MaRDI QIDQ1621618

Kai Wallbaum, Victoria Steblovskaya, Sergio A. Albeverio

Publication date: 9 November 2018

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-017-9138-2

zbMATH Keywords

participation ratepricing of embedded optionstructured investment products with capital protectionvolatility target strategy

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Pension fund management with investment certificates and stochastic dominance

Cites Work

• A model of financial market with several interacting assets. Complete market case
• Extension of stochastic volatility equity models with the Hull–White interest rate process
• A Model with Interacting Assets Driven by Poisson Processes
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing Interest-Rate-Derivative Securities
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