Options on constant proportion portfolio insurance with guaranteed minimum equity exposure

DOI10.1002/asmb.2547MaRDI QIDQ6579515

Kai Wallbaum, Luca Di Persio, Immacolata Oliva

Publication date: 25 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityportfolio insuranceCPPIOBPIguaranteed minimum equity exposureoption on CPPI

Mathematics Subject Classification ID

Statistics (62-XX)

This page was built for publication: Options on constant proportion portfolio insurance with guaranteed minimum equity exposure