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. - Elsevier, ISSN 0264-9993. - Vol. 41.2014, C, p. 15-22
|
Publisher: |
Elsevier |
Subject: | Catastrophe equity put option | Bivariate exponential distribution | Option pricing |
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