Pricing CPPI Capital Guarantees: A Lagrangian Framework

Pricing CPPI Capital Guarantees: A Lagrangian Framework

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A robust computational framework is presented for the risk-neutral valuation of capital guarantees written on discretely-reallocated portfolios following the Constant Proportion Portfolio Insurance (CPPI) strategy. Aiming to address the (arguably more realistic) cases where analytical results are un...

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Bibliographic Details
Main Author: Morley, Christopher Stephen Band
Language:en
Published: 2011
Subjects:
Computational Finance
CPPI
Constant Proportion Portfolio Insurance
Capital Guarantees
Numerical methods
Partial integro-differential equations
Valuation
Borrowing limit
Exotic options
Jump diffusion
Applied Mathematics
Online Access:http://hdl.handle.net/10012/6277

Internet

http://hdl.handle.net/10012/6277

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