Browsing University of Waterloo by Author "Morley, Christopher Stephen Band"
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Pricing CPPI Capital Guarantees: A Lagrangian Framework
Morley, Christopher Stephen Band (University of Waterloo, 2011-09-28)A robust computational framework is presented for the risk-neutral valuation of capital guarantees written on discretely-reallocated portfolios following the Constant Proportion Portfolio Insurance (CPPI) strategy. Aiming ...