Explicit formula for the valuation of catastrophe put option with exponential jump and default risk

DOI10.1016/j.chaos.2017.05.012zbMath1375.91225OpenAlexW2612733678WikidataQ115579770 ScholiaQ115579770MaRDI QIDQ1676808

Geonwoo Kim, Eunho Koo

Publication date: 10 November 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2017.05.012

zbMATH Keywords

default riskintensity based modelcatastrophe put optionexponential jump model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (2)

An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model ⋮ Two frameworks for pricing defaultable derivatives

Cites Work

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