Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity (Q2160048): Difference between revisions
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Created claim: Wikidata QID (P12): Q128042019, #quickstatements; #temporary_batch_1722291251637 |
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| Property / DOI: 10.1016/j.physa.2019.04.045 / rank | |||
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| Property / DOI: 10.1016/J.PHYSA.2019.04.045 / rank | |||
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Latest revision as of 09:02, 28 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity |
scientific article |
Statements
Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity (English)
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2 August 2022
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catastrophe equity put options
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GARCH processes
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stochastic volatility
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catastrophe-dependent intensity
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