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Analytical valuation of catastrophe equity options with negative exponential jumps

Chang, Lung-fu; Hung, Mao-wei - In: Insurance: Mathematics and Economics 44 (2009) 1, pp. 59-69

A catastrophe put option is valuable in the event that the underlying asset price is below the strike price; in addition, a specified catastrophic event must have happened and influenced the insured company. This paper analyzes the valuation of catastrophe put options under deterministic and...

Persistent link: https://www.econbiz.de/10004973703

Analytical valuation of catastrophe equity options with negative exponential jumps

Chang, Lung-fu; Hung, Mao-Wei - In: Insurance / Mathematics & economics 44 (2009) 1, pp. 59-69

Persistent link: https://www.econbiz.de/10009517659

Valuation of vulnerable American options with correlated credit risk

Chang, Lung-fu; Hung, Mao-Wei - In: Review of derivatives research 9 (2006) 2, pp. 137-165

Persistent link: https://www.econbiz.de/10003608132

Analytical valuation of catastrophe equity options with negative exponential jumps

Chang, Lung-fu; Hung, Mao-wei - In: Insurance / Mathematics & economics 44 (2009) 1, pp. 59-69

Persistent link: https://www.econbiz.de/10008212897

Analytical valuation of catastrophe equity options with negative exponential jumps

Chang, Lung-fu; Hung, Mao-wei - In: Insurance / Mathematics & economics 44 (2009) 1, pp. 59-70

Persistent link: https://www.econbiz.de/10008890304