The payoff distribution model: an application to dynamic portfolio insurance

DOI10.1080/14697688.2012.661872zbMath1398.91523OpenAlexW1976809271MaRDI QIDQ4683012

Bruno Rémillard, Alexandre Hocquard, Nicolas Papageorgiou

Publication date: 19 September 2018

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

Full work available at URL: https://doi.org/10.1080/14697688.2012.661872

zbMATH Keywords

portfolio managementrisk managementoptions applicationsasset managementapplied mathematical finance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

Semi-static hedging of variable annuities

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Theory of constant proportion portfolio insurance
• Estimation of parameters of doubly truncated normal distribution from first four sample moments
• CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
• Variance-Optimal Hedging in Discrete Time

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