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Title:

Options on a CPPI Portfolio

Document type:
Zeitschriftenaufsatz
Author(s):
Escobar, M.; Kiechle, A.; Seco, L.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
international
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:
6
Journal issue:
5
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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