Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
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Publication:1676808
DOI10.1016/j.chaos.2017.05.012zbMath1375.91225OpenAlexW2612733678WikidataQ115579770 ScholiaQ115579770MaRDI QIDQ1676808
Publication date: 10 November 2017
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2017.05.012
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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