Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity (Q2160048)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity |
scientific article |
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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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