Analytical valuation of catastrophe equity options with negative exponential jumps
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Publication:1003818
DOI10.1016/J.INSMATHECO.2008.09.009zbMath1156.91363OpenAlexW2018398968MaRDI QIDQ1003818
Publication date: 4 March 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.09.009
Related Items (7)
A closed-form pricing formula for catastrophe equity options ⋮ Catastrophe equity put options with target variance ⋮ Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps ⋮ Explicit formula for the valuation of catastrophe put option with exponential jump and default risk ⋮ Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model ⋮ Catastrophic risks and the pricing of catastrophe equity put options ⋮ Unnamed Item
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