Explicit formula for the valuation of catastrophe put option with exponential jump and default risk (Q1676808): Difference between revisions
From MaRDI portal
Created claim: Wikidata QID (P12): Q115579770, #quickstatements; #temporary_batch_1706897434465 |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 04:18, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Explicit formula for the valuation of catastrophe put option with exponential jump and default risk |
scientific article |
Statements
Explicit formula for the valuation of catastrophe put option with exponential jump and default risk (English)
0 references
10 November 2017
0 references
catastrophe put option
0 references
exponential jump model
0 references
intensity based model
0 references
default risk
0 references