Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model
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Publication:2514669
DOI10.3934/jimo.2015.11.493zbMath1306.91142OpenAlexW2325855911MaRDI QIDQ2514669
Wei Wang, Xiaonan Su, Lin-Yi Qian
Publication date: 3 February 2015
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2015.11.493
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