Pricing catastrophe options with stochastic interest rates and compound Poisson losses (Q2992243)
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scientific article; zbMATH DE number 6611145
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| English | Pricing catastrophe options with stochastic interest rates and compound Poisson losses |
scientific article; zbMATH DE number 6611145 |
Statements
10 August 2016
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option pricing
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change of numeraire
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change of probability measure
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stochastic interest rate
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0.8515135645866394
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0.7967096567153931
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0.7967096567153931
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0.7903307676315308
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0.7867106199264526
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