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

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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 (3)

• Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals
• Pricing catastrophe options in discrete operational time
• Catastrophe options with stochastic interest rates and compound Poisson losses

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