Valuation of catastrophe equity put options with correlated default risk and jump risk
Sign Up to like & getrecommendations! Published in 2019 at "Finance Research Letters"
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
A complex networks based analysis of jump risk in equity returns: An evidence using intraday movements from Pakistan stock market
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Behavioral and Experimental Finance"
DOI: 10.1016/j.jbef.2020.100418
Abstract: Abstract We employ a multi-stage methodology combining complex network analytics and financial risk modelling to unveil the correlation structures amongst the price jump risks of companies forming the KSE-100 index in Pakistan. We identify the… read more here.
Keywords: risk; jump risk; market; stock market ... See more keywords