Search results for "Variance gamma"

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Catastrophic risks and the pricing of catastrophe equity put options

2021

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. Given the importance that catastrophe equity put options (CatEPuts) have in this context, we introduce a pricing approach that provides not only a theoretical contribution whose applicability remains confined to purely numerical examples and experiments, but which can be implemented starting from real data and applied to the evaluation of real CatEPuts. We propose a calibration framework based on his…

Market capitalizationSettore SECS-P/11 - Economia degli Intermediari Finanziari0211 other engineering and technologiesContext (language use)02 engineering and technologyBlack–Scholes modelImplied volatilityManagement Information SystemsCompound Poisson processG1Economics021108 energyVariance gammaG12Hedge (finance)C2Original Paper021103 operations researchActuarial scienceCompound PoissonCatastrophe equity put options · Variance gamma · Compound Poisson · Double-calibrationEquity (finance)Double-calibrationVariance-gamma distributionCatastrophe equity put options · Variance gamma · Compound Poisson ·Double-calibrationC63G22Catastrophe equity put optionsInformation SystemsComputational Management Science
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