摘要翻译：
固定比例投资组合保险(CPPI)是一种策略，旨在让参与风险资产，同时保护投资资本。由于极端事件而产生的一些缺口风险通常由产品的发行人承担：产品中包含CPPI策略的看跌期权。本文提出了一种新的CPPIs和CPPIs期权定价方法，它比通常的Monte-Carlo方法更快、更准确。如果底层遵循一个齐次过程，则路径相关CPPI策略被重新表述为一个单变量的马尔可夫过程，从而允许使用有效的线性代数技术。在定价中至关重要的尾部事件得到了顺利处理。我们在这个框架中加入了线性阈值，利润锁定，业绩优惠券...美国的开放式CPPIs是通过向后传播自然处理的。最后，我们利用我们的定价方案研究了各种特征对CPPI策略缺口风险的影响。
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英文标题：
《Efficient Pricing of CPPI using Markov Operators》
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作者：
Louis Paulot and Xavier Lacroze
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  Constant Proportion Portfolio Insurance (CPPI) is a strategy designed to give participation in a risky asset while protecting the invested capital. Some gap risk due to extreme events is often kept by the issuer of the product: a put option on the CPPI strategy is included in the product. In this paper we present a new method for the pricing of CPPIs and options on CPPIs, which is much faster and more accurate than the usual Monte-Carlo method. Provided the underlying follows a homogeneous process, the path-dependent CPPI strategy is reformulated into a Markov process in one variable, which allows to use efficient linear algebra techniques. Tail events, which are crucial in the pricing are handled smoothly. We incorporate in this framework linear thresholds, profit lock-in, performance coupons... The American exercise of open-ended CPPIs is handled naturally through backward propagation. Finally we use our pricing scheme to study the influence of various features on the gap risk of CPPI strategies.
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PDF链接：
https://arxiv.org/pdf/0901.1218