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Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps
1. | School of Management, Kyung Hee University, 26 Kyunghee-daero, Dongdaemun-gu, Seoul, 130-701 |
2. | Department of Mathematics, Korea University, 145 Anam-ro, Seongbuk-gu, Seoul, 136-713 |
3. | Department of Business Administration, Yong In University, 134 Yongindaehak-ro, Cheoin-gu, Yongin-si, Gyeonggi-do, 449-714, South Korea |
References:
[1] |
G. Bakshi, C. Cao and Z. Chen, Empirical performance of alternative option pricing models,, Journal of Finance, 52 (1997), 2003. Google Scholar |
[2] |
D. Bates, Jumps and stochastic volatility: Exchange rate processes implicit in Deutschemark options,, Review of Financial Studies, 9 (1996), 69. Google Scholar |
[3] |
F. Black and S. Myron, The pricing of options and corporate liabilities,, Journal of Political Economy, 81 (1973), 637.
doi: 10.1086/260062. |
[4] |
L.-F. Chang and M.-W. Hung, Analytical valuation of catastrocphe equity options with negative exponential jumps,, Insurance: Mathematics and Economics, 44 (2009), 59.
doi: 10.1016/j.insmatheco.2008.09.009. |
[5] |
R. Cont, Empirical properties of asset returns: Stylized facts and statistical issues,, Quantitative Finance, 1 (2001), 223. Google Scholar |
[6] |
J. C. Cox and S. A. Ross, The valuation of options for alternative stochastic processes,, Journal of Financial Economics, 3 (1976), 145.
doi: 10.1016/0304-405X(76)90023-4. |
[7] |
H. U. Gerber and E. S. W. Shiu, On the time value of ruin,, North American Actuarial Journal, 2 (1998), 48.
doi: 10.1080/10920277.1998.10595671. |
[8] |
S. Heston, A closed-form solution for options with stochastic volatility with applications to bond and currency options,, Review of Financial Studies, 6 (1993), 327.
doi: 10.1093/rfs/6.2.327. |
[9] |
J. Hull and A. White, The pricing of options with stochastic volatilities,, Journal of Finance, 42 (1987), 281. Google Scholar |
[10] |
S. Jaimungal and T. Wang, Catastrophe options with stochastic interest rates and compound Poisson losses,, Insurance: Mathematics and Economics, 38 (2006), 469.
doi: 10.1016/j.insmatheco.2005.11.008. |
[11] |
B. Kim, J. Kim, K.-S. Moon and I.-S. Wee, Valuation of power options under Heston's stochastic volatility model,, Journal of Economic Dynamics and Control, 36 (2012), 1796.
doi: 10.1016/j.jedc.2012.05.005. |
[12] |
X. S. Lin and T. Wang, Pricing perpetual American catastrophe put options: A penalty function approach,, Insurance: Mathematics and Economics, 44 (2009), 287.
doi: 10.1016/j.insmatheco.2008.04.002. |
[13] |
D. Madan, P. Carr and E. Chang, The variance gamma process and option pricing,, European Finance Review, 2 (1998), 79.
doi: 10.1023/A:1009703431535. |
[14] |
R. Merton, Option pricing when the underlying stock returns are discontinuous,, Journal of Financial Economics, 4 (1976), 125.
doi: 10.1016/0304-405X(76)90022-2. |
[15] |
L. Scott, Pricing stock options in a jump diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods,, Mathematical Finance, 7 (1997), 413.
doi: 10.1111/1467-9965.00039. |
[16] |
E. Stein and J. Stein, Stock price distributions with stochastic volatility,, Review of Financial Studies, 4 (1991), 727.
doi: 10.1093/rfs/4.4.727. |
show all references
References:
[1] |
G. Bakshi, C. Cao and Z. Chen, Empirical performance of alternative option pricing models,, Journal of Finance, 52 (1997), 2003. Google Scholar |
[2] |
D. Bates, Jumps and stochastic volatility: Exchange rate processes implicit in Deutschemark options,, Review of Financial Studies, 9 (1996), 69. Google Scholar |
[3] |
F. Black and S. Myron, The pricing of options and corporate liabilities,, Journal of Political Economy, 81 (1973), 637.
doi: 10.1086/260062. |
[4] |
L.-F. Chang and M.-W. Hung, Analytical valuation of catastrocphe equity options with negative exponential jumps,, Insurance: Mathematics and Economics, 44 (2009), 59.
doi: 10.1016/j.insmatheco.2008.09.009. |
[5] |
R. Cont, Empirical properties of asset returns: Stylized facts and statistical issues,, Quantitative Finance, 1 (2001), 223. Google Scholar |
[6] |
J. C. Cox and S. A. Ross, The valuation of options for alternative stochastic processes,, Journal of Financial Economics, 3 (1976), 145.
doi: 10.1016/0304-405X(76)90023-4. |
[7] |
H. U. Gerber and E. S. W. Shiu, On the time value of ruin,, North American Actuarial Journal, 2 (1998), 48.
doi: 10.1080/10920277.1998.10595671. |
[8] |
S. Heston, A closed-form solution for options with stochastic volatility with applications to bond and currency options,, Review of Financial Studies, 6 (1993), 327.
doi: 10.1093/rfs/6.2.327. |
[9] |
J. Hull and A. White, The pricing of options with stochastic volatilities,, Journal of Finance, 42 (1987), 281. Google Scholar |
[10] |
S. Jaimungal and T. Wang, Catastrophe options with stochastic interest rates and compound Poisson losses,, Insurance: Mathematics and Economics, 38 (2006), 469.
doi: 10.1016/j.insmatheco.2005.11.008. |
[11] |
B. Kim, J. Kim, K.-S. Moon and I.-S. Wee, Valuation of power options under Heston's stochastic volatility model,, Journal of Economic Dynamics and Control, 36 (2012), 1796.
doi: 10.1016/j.jedc.2012.05.005. |
[12] |
X. S. Lin and T. Wang, Pricing perpetual American catastrophe put options: A penalty function approach,, Insurance: Mathematics and Economics, 44 (2009), 287.
doi: 10.1016/j.insmatheco.2008.04.002. |
[13] |
D. Madan, P. Carr and E. Chang, The variance gamma process and option pricing,, European Finance Review, 2 (1998), 79.
doi: 10.1023/A:1009703431535. |
[14] |
R. Merton, Option pricing when the underlying stock returns are discontinuous,, Journal of Financial Economics, 4 (1976), 125.
doi: 10.1016/0304-405X(76)90022-2. |
[15] |
L. Scott, Pricing stock options in a jump diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods,, Mathematical Finance, 7 (1997), 413.
doi: 10.1111/1467-9965.00039. |
[16] |
E. Stein and J. Stein, Stock price distributions with stochastic volatility,, Review of Financial Studies, 4 (1991), 727.
doi: 10.1093/rfs/4.4.727. |
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