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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Escobar, M.; Kiechle, A.; Seco, L.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
Options on a CPPI Portfolio 
Abstract:
In this paper we obtain closed-form expressions for the price of an European Call option on constant-proportion portfolio insurance strategies (CPPI). CPPIs are path-dependent derivatives themselves where the underlying typically is a market index or a fund portfolio. We describe and explain the functionality of CPPIs, showing closed-form expression for the price of a CPPI assuming a Geometric Brownian Motion and continuous as well as discrete rebalancing for the fund investment. The sensitiviti...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
International Mathematical Forum 
Jahr:
2011 
Band / Volume:
Heft / Issue:
Seitenangaben Beitrag:
229-262 
Reviewed:
ja 
Sprache:
en 
Status:
Erstveröffentlichung 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein