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Catastrophic risks and the pricing of catastrophe equity put options
In this paper, after a review of the most common financial strategies and products that insurance companies use to hedge catastrophic risks, we study an option pricing model based on processes with jumps where the catastrophic event is captured by a compound Poisson process with negative jumps. Give...
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| Publicado no: | Comput Manag Sci |
|---|---|
| Main Authors: | , , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Springer Berlin Heidelberg
2021
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7969350/ https://ncbi.nlm.nih.gov/pubmed/38624709 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1007/s10287-021-00391-y |
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