CATASTROPHE EQUITY PUT OPTIONS UNDER STOCHASTIC VOLATILITY AND CATASTROPHE-DEPENDENT JUMPS
DC Field | Value | Language |
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dc.contributor.author | Kim, Hwa-Sung | - |
dc.contributor.author | Kim, Bara | - |
dc.contributor.author | Kim, Jerim | - |
dc.date.accessioned | 2021-09-05T13:00:11Z | - |
dc.date.available | 2021-09-05T13:00:11Z | - |
dc.date.created | 2021-06-15 | - |
dc.date.issued | 2014-01 | - |
dc.identifier.issn | 1547-5816 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/99762 | - |
dc.description.abstract | This paper develops a catastrophe equity put (CatEPut) option model under realistic assumptions. To reflect the phenomena of real data, we adopt the following assumptions. First, following the reasoning in Lin and Wang [12], we assume that the loss index follows a compound Poisson process with jumps of a mixture of Er langs. Second, the volatility of stock return is assumed to be stochastic as in Heston [x]. Under the assumptions, we derives a pricing formula for CatEPut options. Numerical examples are given to insist that the pricing formula can be easily implemented numerically. We also confirm the validity and accuracy of implementation of the pricing formula by comparing the numerical results obtained by the pricing formula with those obtained by the Monte Carlo simulation. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | AMER INST MATHEMATICAL SCIENCES-AIMS | - |
dc.subject | INTEREST-RATES | - |
dc.title | CATASTROPHE EQUITY PUT OPTIONS UNDER STOCHASTIC VOLATILITY AND CATASTROPHE-DEPENDENT JUMPS | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Bara | - |
dc.identifier.doi | 10.3934/jimo.2014.10.41 | - |
dc.identifier.scopusid | 2-s2.0-84886841426 | - |
dc.identifier.wosid | 000326403600003 | - |
dc.identifier.bibliographicCitation | JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, v.10, no.1, pp.41 - 55 | - |
dc.relation.isPartOf | JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | - |
dc.citation.title | JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | - |
dc.citation.volume | 10 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 41 | - |
dc.citation.endPage | 55 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Engineering | - |
dc.relation.journalResearchArea | Operations Research & Management Science | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Engineering, Multidisciplinary | - |
dc.relation.journalWebOfScienceCategory | Operations Research & Management Science | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Interdisciplinary Applications | - |
dc.subject.keywordPlus | INTEREST-RATES | - |
dc.subject.keywordAuthor | CatEPut | - |
dc.subject.keywordAuthor | option pricing | - |
dc.subject.keywordAuthor | stochastic volatility | - |
dc.subject.keywordAuthor | jump-diffusion process | - |
dc.subject.keywordAuthor | moment generating transform | - |
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