Pricing catastrophe options with stochastic interest rates and compound Poisson losses (Q2992243)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6611145
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing catastrophe options with stochastic interest rates and compound Poisson losses |
scientific article; zbMATH DE number 6611145 |
Statements
10 August 2016
0 references
option pricing
0 references
change of numeraire
0 references
change of probability measure
0 references
stochastic interest rate
0 references
0.8515135645866394
0 references
0.7967096567153931
0 references
0.7967096567153931
0 references
0.7903307676315308
0 references
0.7867106199264526
0 references
