Pricing catastrophe equity put options in a mixed fractional Brownian motion environment
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Publication:6534717
DOI10.1155/2020/6197506zbMATH Open1544.91318MaRDI QIDQ6534717
Publication date: 14 May 2021
Published in: (Search for Journal in Brave)
Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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Related Items (2)
Catastrophe equity put options with target variance ⋮ Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model
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