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Brennan, M. and Schwart, E. (1976) The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee. Journal of Financial Economics, 3, 195-213.
https://doi.org/10.1016/0304-405X(76)90003-9

has been cited by the following article:

• TITLE: The Performance of Option-Based Portfolio Insurance on a Dividend Payment Stock

  AUTHORS: Paulina Nangolo, Elias Rabson Offen, Othusitse Basmanebothe

  KEYWORDS: Portfolio Insurance, Option-Based Portfolio Insurance, Black-Scholes Model, European Option

  JOURNAL NAME: Journal of Mathematical Finance, Vol.13 No.2, May 25, 2023

  ABSTRACT: Portfolio insurance is a type of hedging which is a dynamic investment strategy that is designed to guarantee the portfolio value at maturity or up to maturity to be greater or equal to a given lower bond (floor). We analyse the efficiency and the performance of option-based portfolio insurance, by employing two strategies to determine the numbers of stocks, put options, bond value and call options in such a way that the floor value is always protected. Furthermore, we compare the insured versus the non-insured portfolio value.