Pricing perpetual American CatEPut options when stock prices are correlated with catastrophe losses
Year of publication: |
2014
|
---|---|
Authors: | Kim, Hwa-sung ; Kim, Bara ; Kim, Jerim |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 41.2014, p. 15-22
|
Subject: | Catastrophe equity put option | Bivariate exponential distribution | Option pricing | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Börsenkurs | Share price | Derivat | Derivative |
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