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A closed-form pricing formula for catastrophe equity options - MaRDI portal

A closed-form pricing formula for catastrophe equity options (Q5051197)

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scientific article; zbMATH DE number 7621907
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English
A closed-form pricing formula for catastrophe equity options
scientific article; zbMATH DE number 7621907

    Statements

    title
    A closed-form pricing formula for catastrophe equity options (English)
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    author
    Puneet Pasricha
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    Anubha Goel
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    Song-Ping Zhu
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    publication date
    22 November 2022
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    zbMATH Keywords
    catastrophe put option
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    joint characteristic function
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    jump-diffusion
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    stochastic interest rate
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G30
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    91G60
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    65C05
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    zbMATH DE Number
    7621907
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    OpenAlex ID
    W3186123090
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