Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps

DOI10.3934/JIMO.2014.10.41zbMath1275.91134OpenAlexW2329210871MaRDI QIDQ380540

Hwa-Sung Kim, Bara Kim, Jerim Kim

Publication date: 14 November 2013

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2014.10.41

zbMATH Keywords

stochastic volatilityoption pricingjump-diffusion processCatEPutmoment generating transform

Mathematics Subject Classification ID

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

Related Items (3)

Catastrophe equity put options with target variance ⋮ Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity ⋮ Analytical valuation of vulnerable European and Asian options in intensity-based models

Cites Work

• The Pricing of Options and Corporate Liabilities
• Valuation of power options under Heston's stochastic volatility model
• Analytical valuation of catastrophe equity options with negative exponential jumps
• Pricing perpetual American catastrophe put options: A penalty function approach
• Catastrophe options with stochastic interest rates and compound Poisson losses
• Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
• Empirical properties of asset returns: stylized facts and statistical issues
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Option pricing when underlying stock returns are discontinuous
• On the Time Value of Ruin

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