An accurate lattice model for pricing catastrophe equity put under the jump-diffusion process

Chuan Ju Wang*, Tian-Shyr Dai

*Corresponding author for this work

研究成果: Article同行評審

摘要

A catastrophe equity put (CatEPut) is constructed to recapitalize an insurance company that suffers huge compensation payouts due to catastrophic events (CEs). The company can exercise its CatEPut to sell its stock to the counterparty at a predetermined price when its accumulated loss due to CEs exceeds a predetermined threshold and its own stock price falls below the strike price.

原文English
文章編號8492370
頁(從 - 到)35-45
頁數11
期刊IEEE Computational Intelligence Magazine
13
發行號4
DOIs
出版狀態Published - 1 十一月 2018

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