The Pricing of Catastrophe Equity Put Options with Default Risk
Author:
Affiliation:
1. School of International Trade and Economics; University of International Business Economics; Beijing 100029 China
Publisher
Wiley
Subject
Economics and Econometrics,Finance
Reference30 articles.
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5. Arbitrage-free Bilateral Counterparty Risk Valuation Under Collateralization and Application to Credit Default Swaps;Brigo;Mathematical Finance,2014
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1. Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes;The North American Journal of Economics and Finance;2022-07
2. Option Pricing Models: From Black-Scholes-Merton to Present;The Journal of Derivatives;2022-03-25
3. Exchange options for catastrophe risk management;The North American Journal of Economics and Finance;2022-01
4. Catastrophic risks and the pricing of catastrophe equity put options;Computational Management Science;2021-03-18
5. Catastrophe equity put options with floating strike prices;The North American Journal of Economics and Finance;2020-11
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