Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps (Q380540): Difference between revisions

@@ Property / DOI @@
-.3934/jimo.2014.10.41
@@ Property / DOI: 10.3934/jimo.2014.10.41 / rank @@
-Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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@@ Property / zbMATH DE Number @@
+6226902
@@ Property / zbMATH DE Number: 6226902 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+CatEPut
@@ Property / zbMATH Keywords: CatEPut / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+option pricing
@@ Property / zbMATH Keywords: option pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+jump-diffusion process
@@ Property / zbMATH Keywords: jump-diffusion process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+moment generating transform
@@ Property / zbMATH Keywords: moment generating transform / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.3934/jimo.2014.10.41
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@@ Property / OpenAlex ID @@
+W2329210871
@@ Property / OpenAlex ID: W2329210871 / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Analytical valuation of catastrophe equity options with negative exponential jumps
+Normal rank
@@ Property / cites work @@
+Empirical properties of asset returns: stylized facts and statistical issues
+Normal rank
@@ Property / cites work @@
+On the Time Value of Ruin
@@ Property / cites work: On the Time Value of Ruin / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Catastrophe options with stochastic interest rates and compound Poisson losses
+Normal rank
@@ Property / cites work @@
+Valuation of power options under Heston's stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Pricing perpetual American catastrophe put options: A penalty function approach
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@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank
@@ Property / DOI @@
+.3934/JIMO.2014.10.41
@@ Property / DOI: 10.3934/JIMO.2014.10.41 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:380540