Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity

DOI10.1016/J.PHYSA.2019.04.045OpenAlexW2937149203WikidataQ128042019 ScholiaQ128042019MaRDI QIDQ2160048

Guanying Wang, Xingchun Wang

Publication date: 2 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.04.045

zbMATH Keywords

stochastic volatilityGARCH processescatastrophe equity put optionscatastrophe-dependent intensity

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps
• Pricing catastrophe swaps: a contingent claims approach
• The valuation of contingent capital with catastrophe risks
• Valuation of structured risk management products
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Pricing vulnerable options with stochastic volatility
• Valuation of catastrophe reinsurance with catastrophe bonds
• Catastrophe options with stochastic interest rates and compound Poisson losses
• Tax-Deductible Pre-Event Catastrophe Loss Reserves: The Case of Florida
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

This page was built for publication: Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity