Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes

Author:

Chen Jun-Home,Lian Yu-Min,Liao Szu-Lang

Funder

Taipei Medical University

Ministry of Science and Technology, Taiwan

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference31 articles.

1. Credit risk valuation: Methods, models, and applications;Ammann,2013

2. Implications of negative interest rate policies: An early assessment;Arteta;Pacific Economic Review (Special Issue: Implications of Ultra-Low and Negative Interest Rates),2018

3. Valuation of catastrophe equity put options with correlated default risk and jump risk;Bi;Finance Research Letters,2019

4. Valuing risky fixed rate debt: An extension;Briys;Journal of Financial and Quantitative Analysis,1997

5. A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications;Chang;Journal of Banking and Finance,2013

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