Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes
Jun-Home Chen, Yu-Min Lian, Szu-Lang Liao
| Year of publication: |
2022
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| Authors: | Chen, Jun-Home ; Lian, Yu-Min ; Liao, Szu-Lang |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 61.2022, p. 1-17
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| Subject: | Catastrophe equity put | Counterparty risk | Forward measure | Monte Carlo simulation | Stochastic interest rate | Theorie | Theory | Monte-Carlo-Simulation | Stochastischer Prozess | Stochastic process | Risiko | Risk | Katastrophe | Disaster | Derivat | Derivative | Volatilität | Volatility | Kreditrisiko | Credit risk | Risikomanagement | Risk management | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2022.101699 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013449359