Catastrophic risks and the pricing of catastrophe equity put options
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems,Management Information Systems
Link
https://link.springer.com/content/pdf/10.1007/s10287-021-00391-y.pdf
Reference39 articles.
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3. Bi H, Wang G, Wang X (2019) Valuation of catastrophe equity put options with correlated default risk and jump risk. Financ Res Lett 29:323–329
4. Bianchi ML, Stoyanov SV, Tassinari GL, Fabozzi FJ, Focardi SM (2019) Handbook of heavy-tailed distributions in asset management and risk management. World Scientific, Singapore
5. Bianchi ML, Tassinari GL (2020) Forward-looking portfolio selection with multivariate non-Gaussian models. Quant Financ 20:1645–1661
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