Analytical valuation of catastrophe equity options with negative exponential jumps

Author:

Chang Lung-fu,Hung Mao-wei

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference26 articles.

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2. Levy Processes and Stochastic Calculus;Applebaum,2004

3. Spanning and derivative-security valuation;Bakshi;Journal of Financial Economics,2000

4. A Lévy process-based framework for fair valuation of participating life insurance contracts;Ballotta;Insurance: Mathematics and Economics,2005

5. Processes of normal inverse Gaussian type;Barndorff-Nielsen;Finance and Stochastics,1998

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