Valuing catastrophe equity put options with liquidity risk, default risk and jumps
Chao Tang, Peimin Chen, Shu Zhang
| Year of publication: |
2025
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| Authors: | Tang, Chao ; Chen, Peimin ; Zhang, Shu |
| Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 76.2025, Art.-No. 102365, p. 1-20
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| Subject: | Catastrophe equity put options | Default risk | Liquidity risk | Markov modulated poisson process | Optionsgeschäft | Option trading | Risiko | Risk | Stochastischer Prozess | Stochastic process | Katastrophe | Disaster | Kreditrisiko | Credit risk | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2025.102365 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015372584