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Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar, M.; Kiechle, A.; Seco, L.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
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 
Journal title:
International Mathematical Forum 
Year:
2011 
Journal volume:
Journal issue:
Pages contribution:
229-262 
Reviewed:
ja 
Language:
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 
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