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LUO Zongwei
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A theoretical model of jump diffusion-mean reversion: Constant proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor
Journal article
Business Process Management Journal,2017, volume: 23, issue: 3, pages: 537-554
Authors:
Chakrabarty, Anindya
;
Luo, Zongwei
;
Dubey, Rameshwar
;
Jiang, Shan
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Submit date：2021/11/25
CIR
CPPI
Jump diffusion model
Monte Carlo simulation
Portfolio insurance
Stochastic process
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