Efficient Pricing of CPPI using Markov Operators
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References listed on IDEAS
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Cited by:
- Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014. "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 212-225.
- Louis Paulot & Xavier Lacroze, 2009. "One-Dimensional Pricing of CPPI," Papers 0905.2926, arXiv.org, revised Feb 2010.
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