Catastrophe equity put options with target variance
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Hoi Ying Wong & Jing Zhao, 2010. "Currency option pricing: Mean reversion and multi‐scale stochastic volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(10), pages 938-956, October.
- Cox, Samuel H. & Fairchild, Joseph R. & Pedersen, Hal W., 2004. "Valuation of structured risk management products," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 259-272, April.
- Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
- Braun, Alexander, 2011. "Pricing catastrophe swaps: A contingent claims approach," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 520-536.
- Xingchun Wang, 2016. "The Pricing of Catastrophe Equity Put Options with Default Risk," International Review of Finance, International Review of Finance Ltd., vol. 16(2), pages 181-201, June.
- Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 1997.
" Empirical Performance of Alternative Option Pricing Models,"
Journal of Finance,
American Finance Association, vol. 52(5), pages 2003-2049, December.
- Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997. "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers ysm54, Yale School of Management.
- Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997. "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers ysm65, Yale School of Management.
- Charles Levi, 1 & Partrat, Christian, 1991. "Statistical Analysis of Natural Events in the United States," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 21(02), pages 253-276, November.
- Robert Jarrow & Younes Kchia & Martin Larsson & Philip Protter, 2013. "Discretely sampled variance and volatility swaps versus their continuous approximations," Finance and Stochastics, Springer, vol. 17(2), pages 305-324, April.
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
- Chia‐Chien Chang & Shih‐Kuei Lin & Min‐Teh Yu, 2011. "Valuation of Catastrophe Equity Puts With Markov‐Modulated Poisson Processes," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 78(2), pages 447-473, June.
- Wu, Yang-Che & Chung, San-Lin, 2010. "Catastrophe risk management with counterparty risk using alternative instruments," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 234-245, October.
- Klein, Peter, 1996. "Pricing Black-Scholes options with correlated credit risk," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1211-1229, August.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- Biagini, Francesca & Bregman, Yuliya & Meyer-Brandis, Thilo, 2008. "Pricing of catastrophe insurance options written on a loss index with reestimation," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 214-222, October.
- Lee, Jin-Ping & Yu, Min-Teh, 2007. "Valuation of catastrophe reinsurance with catastrophe bonds," Insurance: Mathematics and Economics, Elsevier, vol. 41(2), pages 264-278, September.
- Jiang, I-Ming & Yang, Sheng-Yung & Liu, Yu-Hong & Wang, Alan T., 2013. "Valuation of double trigger catastrophe options with counterparty risk," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 226-242.
- Jaimungal, Sebastian & Wang, Tao, 2006. "Catastrophe options with stochastic interest rates and compound Poisson losses," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 469-483, June.
- Guanying Wang & Xingchun Wang & Yongjin Wang, 2014. "Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing," Applied Mathematical Finance, Taylor & Francis Journals, vol. 21(1), pages 32-50, March.
- Wendong Zheng & Yue Kuen Kwok, 2014. "Closed Form Pricing Formulas For Discretely Sampled Generalized Variance Swaps," Mathematical Finance, Wiley Blackwell, vol. 24(4), pages 855-881, October.
- Lo, Chien-Ling & Lee, Jin-Ping & Yu, Min-Teh, 2013. "Valuation of insurers’ contingent capital with counterparty risk and price endogeneity," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5025-5035.
- Duan, Jin-Chuan & Simonato, Jean-Guy, 2002. "Maximum likelihood estimation of deposit insurance value with interest rate risk," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 109-132, January.
- Lin, Shih-Kuei & Chang, Chia-Chien & Powers, Michael R., 2009. "The valuation of contingent capital with catastrophe risks," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 65-73, August.
- Chang, Lung-fu & Hung, Mao-wei, 2009. "Analytical valuation of catastrophe equity options with negative exponential jumps," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 59-69, February.
- Yu, Jun, 2015. "Catastrophe options with double compound Poisson processes," Economic Modelling, Elsevier, vol. 50(C), pages 291-297.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:eee:phsmap:v:485:y:2017:i:c:p:91-103 is not listed on IDEAS
- Krzysztof Burnecki & Mario Nicol'o Giuricich & Zbigniew Palmowski, 2018. "Valuation of contingent convertible catastrophe bonds - the case for equity conversion," Papers 1804.07997, arXiv.org.
More about this item
KeywordsCatastrophe equity put options; Realized variance; Realized volatility; Catastrophic events; Doubly stochastic Poisson processes;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:71:y:2016:i:c:p:79-86. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.