Explicit formula for the valuation of catastrophe put option with exponential jump and default risk (Q1676808)
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scientific article; zbMATH DE number 6805106
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| English | Explicit formula for the valuation of catastrophe put option with exponential jump and default risk |
scientific article; zbMATH DE number 6805106 |
Statements
Explicit formula for the valuation of catastrophe put option with exponential jump and default risk (English)
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10 November 2017
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catastrophe put option
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exponential jump model
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intensity based model
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default risk
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0.8913077
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0.8622105
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0.86137253
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0.8597588
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0.85943425
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0.8535609
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0.85212076
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0.84584343
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