Pricing catastrophe options in discrete operational time
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Publication:2518548
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
option pricingstochastic time changecatastrophe insurance derivativestrinomial treebinomial tree with random time stepsrandomized operational time
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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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