Valuation of catastrophe equity put options with correlated default risk and jump risk
Hongwei Bi, Guanying Wang, Xingchun Wang
| Year of publication: |
2019
|
|---|---|
| Authors: | Bi, Hongwei ; Wang, Guanying ; Wang, Xingchun |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 29.2019, p. 323-329
|
| Subject: | Catastrophe equity put options | Markov modulated poisson process | Default risk | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Risiko | Risk | Kreditrisiko | Credit risk | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Katastrophe | Disaster | Schätzung | Estimation |