Valuation of CPPI-managed multiperiod rate of return guarantee with price jumps

ZHANG Fei, LIU Hai-long

Systems Engineering - Theory & Practice ›› 2014, Vol. 34 ›› Issue (8) : 1944-1951.

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Systems Engineering - Theory & Practice ›› 2014, Vol. 34 ›› Issue (8) : 1944-1951. DOI: 10.12011/1000-6788(2014)8-1944

Valuation of CPPI-managed multiperiod rate of return guarantee with price jumps

  • ZHANG Fei1,2, LIU Hai-long1
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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2014, 34(8): 1944-1951 https://doi.org/10.12011/1000-6788(2014)8-1944

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