Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity
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Publication:2160048
DOI10.1016/J.PHYSA.2019.04.045OpenAlexW2937149203WikidataQ128042019 ScholiaQ128042019MaRDI QIDQ2160048
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
Cites Work
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- 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
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