Pricing catastrophe equity put options in a mixed fractional Brownian motion environment

DOI10.1155/2020/6197506MaRDI QIDQ6534717zbMATH OpenFDO

Authors Guohe Deng

Publication date 14 May 2021

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2020/6197506

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• Valuation of structured risk management products
• Valuing equity-linked death benefits in general exponential Lévy models

Cited in

(3)

• Catastrophe equity put options with target variance
• Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model
• Pricing geometric Asian extremum options under mixed fractional Brownian motion with jumps

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