Catastrophe equity put options with target variance
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Publication:2374098
DOI10.1016/j.insmatheco.2016.08.010zbMath1371.91184OpenAlexW2508679861MaRDI QIDQ2374098
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
realized volatilityrealized variancedoubly stochastic Poisson processescatastrophe equity put optionscatastrophic events
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