Pandemic options
Applied Economics
; : 8, 2022.
Article
in English
| Web of Science | ID: covidwho-1805775
ABSTRACT
We develop a pricing model for pandemic European call and put options, in which the underlying variable is the infected population. Interestingly, the economic predictions of the pandemic options are essentially different from the common stock option. For example, the value of pandemic call option is concave in the underlying variable and decreasing in the volatility. In addition, the maturity has ambiguous impact on the valuation of pandemic call option. We show that the basic reproduction number, the unique characteristics of pandemic, has a significant effect on the valuation of each options.
Full text:
Available
Collection:
Databases of international organizations
Database:
Web of Science
Language:
English
Journal:
Applied Economics
Year:
2022
Document Type:
Article
Similar
MEDLINE
...
LILACS
LIS