CPPI in the Jump-Diffusion Model

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


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


Risky Asset Contingent Claim Martingale Measure Scholes Model Riskless Asset 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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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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