Valuation of catastrophe equity put options with correlated default risk and jump risk
Year of publication: |
2019
|
---|---|
Authors: | Bi, Hongwei ; Wang, Guanying ; Wang, Xingchun |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 29.2019, p. 323-329
|
Subject: | Catastrophe equity put options | Markov modulated poisson process | Default risk | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Risikoprämie | Risk premium | Kreditrisiko | Credit risk | Optionsgeschäft | Option trading |
-
Default risk and option returns
Vasquez, Aurelio, (2024)
-
Behaviour of bond's embedded option with regard to credit rating
Stádník, Bohumil, (2018)
-
Credit spreads with dynamic debt
Das, Sanjiv R., (2015)
- More ...
-
Pricing Vulnerable Spread Options under an Intensity-based Model
Bi, Hongwei, (2023)
-
Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes
Tian, Lihui, (2014)
-
Long time behavior for nonlocal stochastic Kuramoto–Sivashinsky equations
Wang, Guanying, (2014)
- More ...