Valuation of double trigger catastrophe options with counterparty risk
I-ming Jiang; Sheng-yung Yang; Yu-hong Liu; Alan T. Wang
| Year of publication: |
2013
|
|---|---|
| Authors: | Jiang, I-ming ; Yang, Sheng-Yung ; Liu, Yu-hong ; Wang, Alan T. |
| 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. 25.2013, p. 226-242
|
| Subject: | Catastrophe | Stochastic interest rate | Counterparty risk | Compound Poisson | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Katastrophe | Disaster | Derivat | Derivative | Risikomanagement | Risk management | Risikomodell | Risk model |
| 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/10009779275