A theoretical model of jump diffusion-mean reversion : constant proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor
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 | Optionspreistheorie | Option pricing theory | Transaktionskosten | Transaction costs | Volatilität | Volatility |
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