Pricing catastrophe options in discrete operational time

DOI10.1016/j.insmatheco.2008.08.003zbMath1284.91541OpenAlexW1964370855MaRDI QIDQ2518548

Weili Lu, Jack S. K. Chang, Carolyn W. Chang

Publication date: 16 January 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.08.003

zbMATH Keywords

option pricingstochastic time changecatastrophe insurance derivativestrinomial treebinomial tree with random time stepsrandomized operational time

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Pricing catastrophe swaps: a contingent claims approach ⋮ Pricing industry loss warranties in a Lévy-Frailty framework

Cites Work

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• Option pricing using a binomial model with random time steps (A formal model of gamma hedging)
• Error bounds for the compound Poisson approximation
• Stochastic time changes in catastrophe option pricing
• Fast accurate binomial pricing
• The random-time binomial model
• Valuation of catastrophe reinsurance with catastrophe bonds
• Catastrophe options with stochastic interest rates and compound Poisson losses
• Approximations of ruin probabilities in mixed Poisson models with lattice claim amounts
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Option pricing: A simplified approach

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