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