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Keywords: CPPI
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Journal Articles
Journal:
Business Process Management Journal
Business Process Management Journal (2017) 23 (3): 537–554.
Published: 05 June 2017
... to the deterministic floor used in the previous literatures. Design/methodology/approach The paper adopts Merton’s jump diffusion (JD) model to simulate the price path followed by risky assets and the CIR mean reversion model to simulate the path followed by the short-term interest rate. The floor of the CPPI...
