Puneet Pasricha

Available identifiers

zbMath Open pasricha.puneetMaRDI QIDQ1696965

List of research outcomes

Publication	Date of Publication	Type
Hedging and utility valuation of a defaultable claim driven by Hawkes processes	2024-07-29	Paper
A closed-form pricing formula for catastrophe equity options	2022-11-22	Paper
A CLOSED-FORM PRICING FORMULA FOR EUROPEAN EXCHANGE OPTIONS WITH STOCHASTIC VOLATILITY	2022-11-22	Paper
Pricing power exchange options with Hawkes jump diffusion processes	2021-06-09	Paper
Valuation of equity-indexed annuities under correlated jump-diffusion processes	2021-06-03	Paper
A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes	2020-08-28	Paper
A Markov modulated dynamic contagion process with application to credit risk	2019-06-28	Paper
Pricing vulnerable power exchange options in an intensity based framework	2019-06-20	Paper
Markov chain model with catastrophe to determine mean time to default of credit risky assets	2018-02-15	Paper

Research outcomes over time

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