Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps
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Publication:380540
DOI10.3934/JIMO.2014.10.41zbMath1275.91134OpenAlexW2329210871MaRDI QIDQ380540
Hwa-Sung Kim, Bara Kim, Jerim Kim
Publication date: 14 November 2013
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2014.10.41
Related Items (3)
Catastrophe equity put options with target variance ⋮ Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity ⋮ Analytical valuation of vulnerable European and Asian options in intensity-based models
Cites Work
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- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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