A theoretical model of jump diffusion-mean reversion : constant proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor
Anindya Chakrabarty, Zongwei Luo, Rameshwar Dubey and Shan Jiang
| Year of publication: |
2017
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|---|---|
| Authors: | Chakrabarty, Anindya ; Luo, Zongwei ; Dubey, Rameshwar ; Jiang, Shan |
| Published in: |
Business process management journal. - Bingley : Emerald Group Publishing Limited, ISSN 1463-7154, ZDB-ID 1379961-7. - Vol. 23.2017, 3, p. 537-554
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| Subject: | Stochastic process | CIR | CPPI | Jump diffusion model | Monte Carlo simulation | Portfolio insurance | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Monte-Carlo-Simulation | Transaktionskosten | Transaction costs | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/BPMJ-01-2016-0005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011744467