Catastrophic risks and the pricing of catastrophe equity put options.
Massimo ArnoneMichele Leonardo BianchiAnna Grazia QuarantaGian Luca TassinariPublished in: Comput. Manag. Sci. (2021)
Keyphrases
- option pricing
- black scholes model
- double exponential
- stock price
- black scholes
- stock market
- critical points
- risk management
- financial markets
- profit maximization
- decision making
- convertible bonds
- dynamic pricing
- network effects
- pricing model
- deep structure
- real option
- risk assessment
- optimal solution
- information retrieval