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Options on constant proportion portfolio insurance with guaranteed minimum equity exposure
Applied Stochastic Models in Business and Industry ( IF 1.3 ) Pub Date : 2020-08-04 , DOI: 10.1002/asmb.2547
Luca Di Persio 1 , Immacolata Oliva 2 , Kai Wallbaum 3
Affiliation  

In the present paper we study a new exotic option offering participation in a dynamic asset allocation strategy, which is an extension of the well-known Constant Proportion Portfolio Insurance (CPPI) strategy Our novel approach consists in assuming that the percentage of wealth invested in stocks cannot go under a fixed level, called guaranteed minimum equity exposure (GMEE) In particular, our proposal ensures to overcome the so-called cash-in risk, typically related to a standard CPPI technique, simultaneously guaranteeing the equity market participation We look deeper into the valuation of call and put options linked to this new CPPI-GMEE strategy A particular attention is devoted to the analysis of key parameters' value as to gain a better understanding of the sensitivities of the option prices, when changing, for example, the embedded guarantee level To show the effectiveness of our proposal we provide a detailed computational analysis within the Heston-Vasicek framework, numerically comparing the evaluation of the price of European plain vanilla options when the underlying is either a purely risky asset, a standard CPPI portfolio and a CPPI with GMEE

中文翻译:

保证最低股权敞口的恒定比例投资组合保险期权

在本文中,我们研究了一种新的奇异期权,该期权提供参与动态资产配置策略,它是著名的恒定比例投资组合保险 (CPPI) 策略的延伸。我们的新方法包括假设投资于股票的财富百分比不能低于固定水平,称为保证最低股权敞口 (GMEE) 特别是,我们的建议确保克服所谓的套现风险,通常与标准 CPPI 技术相关,同时保证股票市场参与我们更深入地研究与这种新的 CPPI-GMEE 策略相关的看涨期权和看跌期权的估值 特别注意分析关键参数的价值,以便更好地了解期权价格的敏感性,例如,当发生变化时,嵌入式担保水平 为了显示我们提议的有效性,我们在 Heston-Vasicek 框架内提供了详细的计算分析,当标的物是纯风险资产或标准 CPPI 投资组合时,对欧洲普通期权的价格评估进行数值比较以及带有 GMEE 的 CPPI
更新日期:2020-08-04
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