Catastrophe equity put options with target variance

DOI10.1016/J.INSMATHECO.2016.08.010zbMath1371.91184OpenAlexW2508679861MaRDI QIDQ2374098

Xingchun Wang

Publication date: 14 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.08.010

zbMATH Keywords

realized volatilityrealized variancedoubly stochastic Poisson processescatastrophe equity put optionscatastrophic events

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

A closed-form pricing formula for catastrophe equity options ⋮ Explicit formula for the valuation of catastrophe put option with exponential jump and default risk ⋮ Valuation of contingent convertible catastrophe bonds -- the case for equity conversion ⋮ Catastrophic risks and the pricing of catastrophe equity put options ⋮ Unnamed Item

Cites Work

• Unnamed Item
• Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps
• Variance-optimal hedging for target volatility options
• Pricing catastrophe swaps: a contingent claims approach
• The valuation of contingent capital with catastrophe risks
• Catastrophe risk management with counterparty risk using alternative instruments
• Valuation of structured risk management products
• Pricing of catastrophe insurance options written on a loss index with reestimation
• Analytical valuation of catastrophe equity options with negative exponential jumps
• Discretely sampled variance and volatility swaps versus their continuous approximations
• Valuation of catastrophe reinsurance with catastrophe bonds
• Catastrophe options with stochastic interest rates and compound Poisson losses
• A Theory of the Term Structure of Interest Rates
• CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS
• A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
• Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing
• Pricing of zero-coupon and coupon cat bonds
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• TARGET VOLATILITY OPTION PRICING

This page was built for publication: Catastrophe equity put options with target variance