Catastrophe equity put options with target variance
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Publication:2374098
DOI10.1016/J.INSMATHECO.2016.08.010zbMATH Open1371.91184OpenAlexW2508679861MaRDI QIDQ2374098FDOQ2374098
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
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
realized volatilityrealized variancedoubly stochastic Poisson processescatastrophe equity put optionscatastrophic events
Cites Work
- A theory of the term structure of interest rates
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- An equilibrium characterization of the term structure
- A closed-form exact solution for pricing variance swaps with stochastic volatility
- Title not available (Why is that?)
- Closed form pricing formulas for discretely sampled generalized variance swaps
- TARGET VOLATILITY OPTION PRICING
- The valuation of contingent capital with catastrophe risks
- Analytical valuation of catastrophe equity options with negative exponential jumps
- Catastrophe options with stochastic interest rates and compound Poisson losses
- Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps
- Variance-optimal hedging for target volatility options
- Valuation of structured risk management products
- Catastrophe risk management with counterparty risk using alternative instruments
- Valuation of catastrophe reinsurance with catastrophe bonds
- Pricing of zero-coupon and coupon cat bonds
- Pricing catastrophe swaps: a contingent claims approach
- Pricing of catastrophe insurance options written on a loss index with reestimation
- Discretely sampled variance and volatility swaps versus their continuous approximations
- Rare shock, two-factor stochastic volatility and currency option pricing
Cited In (10)
- Analytical valuation of catastrophe equity options with negative exponential jumps
- Catastrophic risks and the pricing of catastrophe equity put options
- Pricing catastrophe equity put options in a mixed fractional Brownian motion environment
- A closed-form pricing formula for catastrophe equity options
- 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
- 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
- Continuous-time model based on two Wiener processes for calculating insurance linked securities (ILS) underlying a catastrophic loss index
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