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Scheller, Johanna's
Scholarly Papers
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Total Downloads
461 |
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Pezier, Jacques University of Reading - ICMA Centre Scheller, Johanna ICMA Centre, Henley Business School at Reading
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14 Jun 11
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Last Revised:
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25 Jun 11
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314
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capital guaranteed products, constant proportionality portfolio insurance, option based portfolio insurance, jump processes, time-changed Brownian motion, dynamic replication, utility theory
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Pezier, Jacques University of Reading - ICMA Centre Scheller, Johanna ICMA Centre, Henley Business School at Reading
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01 Feb 12
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Last Revised:
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15 Apr 12
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147
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Constant proportion portfolio insurance, average price Asian options, optimal payoff profile, utility theory, life-cycle investment
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