Pricing catastrophe options with stochastic interest rates and compound Poisson losses

DOI10.3969/J.ISSN.1001-4268.2015.04.007zbMATH Open1349.91274MaRDI QIDQ2992243FDOQ2992243

Authors Yunguo Jin, Shouming Zhong

Publication date 10 August 2016

zbMATH Keywords

option pricingchange of numerairestochastic interest ratechange of probability measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Generalized stochastic processes (60G20)

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• Catastrophe options with stochastic interest rates and compound Poisson losses

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