Valuation of catastrophe equity put options with correlated default risk and jump risk
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DOI: 10.1016/j.frl.2018.08.014
Abstract: Abstract In this paper, the pricing formula for catastrophe equity put options with correlated jump risk and default risk is derived. In the proposed model, we assume that catastrophic events and non-catastrophic events both follow… read more here.
Keywords: default risk; jump risk; catastrophe equity; risk ... See more keywords