scientific article; zbMATH DE number 6611145

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

Shouming Zhong, Yunguo Jin

Publication date: 10 August 2016

Title of this publication is not available (Why is that?)

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)

Cited In (2)

• Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals
• Pricing catastrophe options in discrete operational time

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