Catastrophe equity put options with target variance

DOI10.1016/J.INSMATHECO.2016.08.010MaRDI QIDQ2374098zbMATHOpenAlexFDO

Authors Xingchun Wang

Publication date 14 December 2016

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2016.08.010

zbMATH Keywords

realized volatilityrealized variancedoubly stochastic Poisson processescatastrophe equity put optionscatastrophic events

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps
• Catastrophic risks and the pricing of catastrophe equity put options
• A closed-form pricing formula for catastrophe equity options
• Analytical valuation of catastrophe equity options with negative exponential jumps
• Pricing catastrophe equity put options in a mixed fractional Brownian motion environment
• Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity
• Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model
• Hedging processes for catastrophe options
• TARGET VOLATILITY OPTION PRICING
• Variance-optimal hedging for target volatility options

Cites work

• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• A closed-form exact solution for pricing variance swaps with stochastic volatility
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Analytical valuation of catastrophe equity options with negative exponential jumps
• Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps
• Catastrophe options with stochastic interest rates and compound Poisson losses
• Catastrophe risk management with counterparty risk using alternative instruments
• Closed form pricing formulas for discretely sampled generalized variance swaps
• Discretely sampled variance and volatility swaps versus their continuous approximations
• Pricing catastrophe swaps: a contingent claims approach
• Pricing of catastrophe insurance options written on a loss index with reestimation
• Pricing of zero-coupon and coupon cat bonds
• Rare shock, two-factor stochastic volatility and currency option pricing
• TARGET VOLATILITY OPTION PRICING
• The valuation of contingent capital with catastrophe risks
• Valuation of catastrophe reinsurance with catastrophe bonds
• Valuation of structured risk management products
• Variance-optimal hedging for target volatility options

Cited in

(10)

• A closed-form pricing formula for catastrophe equity options
• Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
• Inverse problems to estimate market price of risk in catastrophe bonds
• Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps
• Catastrophe options with stochastic interest rates and compound Poisson losses
• Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
• Analytical valuation of catastrophe equity options with negative exponential jumps
• Pricing catastrophe equity put options in a mixed fractional Brownian motion environment
• Catastrophic risks and the pricing of catastrophe equity put options
• Continuous-time model based on two Wiener processes for calculating insurance linked securities (ILS) underlying a catastrophic loss index

This page was built for publication: Catastrophe equity put options with target variance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2374098)