Pricing perpetual American catastrophe put options: A penalty function approach
type: Item
instance of: scholarly article
title: Pricing perpetual American catastrophe put options: A penalty function approach
zbMATH Open document ID: 1163.91412
author: X. Sheldon Lin
author: Tao Wang
published in: Insurance Mathematics \& Economics
publication date: 2009-05-12T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60J70
zbMATH DE Number: 5553079
zbMATH Keywords: catastrophe equity put option
zbMATH Keywords: compound Poisson losses
zbMATH Keywords: PCS index
zbMATH Keywords: mixture of Erlang distributions
zbMATH Keywords: surplus process
zbMATH Keywords: ruin theory
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2008.04.002
OpenAlex ID: W1985820303
cites work: On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
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cites work: On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
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cites work: The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
cites work: Analysis of a defective renewal equation arising in ruin theory
cites work: Option pricing when underlying stock returns are discontinuous
cites work: Q4851818
cites work: Exact and approximate properties of the distribution of surplus before and after ruin
cites work: Simplified bounds on the tails of compound distributions
DOI: 10.1016/J.INSMATHECO.2008.04.002
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description: scientific article; zbMATH DE number 5553079