Valuing catastrophe bonds by Monte Carlo simulations (Q4449554)
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scientific article; zbMATH DE number 2040338
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| English | Valuing catastrophe bonds by Monte Carlo simulations |
scientific article; zbMATH DE number 2040338 |
Statements
Valuing catastrophe bonds by Monte Carlo simulations (English)
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11 February 2004
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digital options
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jump-diffusion process
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mean-reverting process
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variance reduction
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0.8706058859825134
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0.8394861817359924
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0.8308489322662354
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0.8221554756164551
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0.7875491976737976
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