CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES

By Rama Cont, Peter Tankov. 2009

122 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f5c465349cda8bb756fa2fabfe269ac946ff1ada

Citations in the corpus

• Tails, Fears and Risk Premia (2010, unknown): “…options, or gap risk swaps, are explicitly designed to hedge against gap events, or jumps, that is a one-day large price move in the underlying; see Cont and Tankov (2009) and Tankov (2009) for further discussion on the pricing of these contracts using different parametric models as well as their…”