Download This PaperPortfolio Insurance Contracts Linked to Hedge Funds
29 Pages Posted: 10 Aug 2016
Date Written: January 6, 2009
Abstract
We provide a quite general framework for pricing CPPI contracts linked to hedge funds, assessing the gap risk proper to this payoff. We enrich our framework while assuming the existence of a lag between the current estimated NAV and the executed NAV.
JEL Classification: D53, G13
Suggested Citation: Suggested Citation
Ezzili, Chekib, Portfolio Insurance Contracts Linked to Hedge Funds (January 6, 2009). Available at SSRN: https://ssrn.com/abstract=2817614 or http://dx.doi.org/10.2139/ssrn.2817614
Chekib Ezzili (Contact Author)
ESSEC Business School ( email )
3 Avenue Bernard Hirsch
CS 50105 CERGY
CERGY, CERGY PONTOISE CEDEX 95021
France
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