PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES

DOI10.1142/S0219024921500369zbMath1484.91418OpenAlexW3214993207MaRDI QIDQ5061492

Donatien Hainaut, Jean-Loup Dupret

Publication date: 11 March 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024921500369

zbMATH Keywords

portfolio insuranceCPPIVolterra processrough volatilityparticle Monte Carlo Markov chain

Mathematics Subject Classification ID

Portfolio theory (91G10) Actuarial mathematics (91G05)

Related Items (4)

Multivariate claim processes with rough intensities: properties and estimation ⋮ A subdiffusive stochastic volatility jump model ⋮ Impact of rough stochastic volatility models on long-term life insurance pricing ⋮ Pricing of spread and exchange options in a rough jump-diffusion market

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