Valuation of catastrophe equity put options with correlated default risk and jump risk

Author:

Bi Hongwei,Wang Guanying,Wang Xingchun

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Finance

Reference20 articles.

1. Empirical performance of alternative option pricing models;Bakshi;J. Finance,1997

2. The market for cash risk;Bates;J. Econ. Dyn. Control,2008

3. Pricing of catastrophe insurance options written on a loss index with reestimation;Biagini;Insurance: Math. Econ.,2008

4. Option pricing under a mixed-exponential jump diffusion model;Cai;Manage. Sci.,2011

5. The fine structure of asset returns: an empirical investigation;Carr;J. Bus.,2002

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