A closed-form pricing formula for catastrophe equity options (Q5051197)
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scientific article; zbMATH DE number 7621907
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A closed-form pricing formula for catastrophe equity options |
scientific article; zbMATH DE number 7621907 |
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A closed-form pricing formula for catastrophe equity options (English)
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22 November 2022
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catastrophe put option
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joint characteristic function
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jump-diffusion
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stochastic interest rate
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