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- W4297949683 abstract "Constant Proportion Portfolio Insurance (CPPI) is an investment strategy designed to give participation in the performance of a risky asset while protecting the invested capital. This protection is however not perfect and the gap risk must be quantified. CPPI strategies are path-dependent and may have American exercise which makes their valuation complex. A naive description of the state of the portfolio would involve three or even four variables. In this paper we prove that the system can be described as a discrete-time Markov process in one single variable if the underlying asset follows a homogeneous process. This yields an efficient pricing scheme using transition probabilities. Our framework is flexible enough to handle most features of traded CPPIs including profit lock-in and other kinds of strategies with discrete-time reallocation." @default.
- W4297949683 created "2022-10-01" @default.
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- W4297949683 date "2009-05-18" @default.
- W4297949683 modified "2023-09-23" @default.
- W4297949683 title "One-Dimensional Pricing of CPPI" @default.
- W4297949683 doi "https://doi.org/10.48550/arxiv.0905.2926" @default.
- W4297949683 hasPublicationYear "2009" @default.
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