Explicit formula for the valuation of catastrophe put option with exponential jump and default risk (Q1676808)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Explicit formula for the valuation of catastrophe put option with exponential jump and default risk |
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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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