Pricing perpetual American CatEPut options when stock prices are correlated with catastrophe losses
Hwa-Sung Kim; Bara Kim; Jerim Kim
| Year of publication: |
2014
|
|---|---|
| Authors: | Kim, Hwa-sung ; Kim, Bara ; Kim, Jerim |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 41.2014, p. 15-22
|
| Subject: | Catastrophe equity put option | Bivariate exponential distribution | Option pricing | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Börsenkurs | Share price | Katastrophe | Disaster | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010438507