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

DOI10.1111/j.1467-9965.2009.00377.xzbMath1168.91381OpenAlexW3123261697WikidataQ62089382 ScholiaQ62089382MaRDI QIDQ3393977

Peter Tankov, Rama Cont

Publication date: 28 August 2009

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00377.x

zbMATH Keywords

expected losshedgingLévy processportfolio insurancevalue at riskCPPItime-changed Lévy modelsCPPI option

Mathematics Subject Classification ID

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