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Investment instruments with volatility target mechanism

Author

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  • S. Albeverio
  • V. Steblovskaya
  • K. Wallbaum

Abstract

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Suggested Citation

  • S. Albeverio & V. Steblovskaya & K. Wallbaum, 2013. "Investment instruments with volatility target mechanism," Quantitative Finance, Taylor & Francis Journals, vol. 13(10), pages 1519-1528, October.
    • Handle: RePEc:taf:quantf:v:13:y:2013:i:10:p:1519-1528
    DOI: 10.1080/14697688.2013.804943
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    Citations

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    Cited by:

    1. Luca Di Persio & Luca Prezioso & Kai Wallbaum, 2019. "Closed-End Formula for options linked to Target Volatility Strategies," Papers 1902.08821, arXiv.org.
    2. Sergio Albeverio & Victoria Steblovskaya & Kai Wallbaum, 2018. "The volatility target effect in structured investment products with capital protection," Review of Derivatives Research, Springer, vol. 21(2), pages 201-229, July.
    3. Luca Di Persio & Immacolata Oliva & Kai Wallbaum, 2021. "Options on constant proportion portfolio insurance with guaranteed minimum equity exposure," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 37(1), pages 98-112, January.
    4. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, January.
    5. L. Di Persio & I. Oliva. K. Wallbaum, 2019. "Options on CPPI with guaranteed minimum equity exposure," Papers 1902.06505, arXiv.org.
    6. Luca Di Persio & Matteo Garbelli & Kai Wallbaum, 2021. "Forward-Looking Volatility Estimation for Risk-Managed Investment Strategies during the COVID-19 Crisis," Risks, MDPI, vol. 9(2), pages 1-16, February.
    7. Valeriy Zakamulin, 2023. "Not all bull and bear markets are alike: insights from a five-state hidden semi-Markov model," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-25, March.

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