CPPI in the Jump-Diffusion Model

Chapter
Part of the Statistics and Econometrics for Finance book series (SEFF, volume 1)

Abstract

In this paper we consider Constant Proportion Portfolio Insurance (CPPI) in terms of jump-diffusion. We also consider the associated problem of hedging using both the PDE/PIDE and martingale approaches. In particular we consider the mean-variance hedging problem when the contingent claim is a function of the CPPI portfolio value. Keywords: CPPI, Jump-diffusion model, Hedging, Mean-variance hedging, CPPI option, PIDE

Keywords

Income Convolution Radon Vanilla Hedging 

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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  1. 1.School of InsuranceThe University of International Business & EconomicsBeijingChina
  2. 2.Department of MathematicsUniversity of MissouriColumbiaUSA

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