Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
type: Item
instance of: scholarly article
title: Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
zbMATH Open document ID: 1375.91225
author: Eunho Koo
author: Geonwoo Kim
published in: Chaos, Solitons and Fractals
publication date: 2017-11-10T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6805106
zbMATH Keywords: catastrophe put option
zbMATH Keywords: exponential jump model
zbMATH Keywords: intensity based model
zbMATH Keywords: default risk
Wikidata QID: Q115579770
MaRDI profile type: Publication
full work available at URL: j.chaos.2017.05.012
OpenAlex ID: W2612733678
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DOI: 10.1016/J.CHAOS.2017.05.012
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description: scientific article; zbMATH DE number 6805106