Valuing catastrophe bonds by Monte Carlo simulations
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Publication:4449554
DOI10.1080/1350486032000079741zbMath1060.91088OpenAlexW2043732557MaRDI QIDQ4449554
Publication date: 11 February 2004
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486032000079741
Related Items (6)
The Optimal Write-Down Coefficients in a Percentage for a Catastrophe Bond ⋮ Sensitivity Analysis of Catastrophe Bond Price Under the Hull–White Interest Rate Model ⋮ Pricing catastrophe risk bonds: a mixed approximation method ⋮ Pricing catastrophe swaps: a contingent claims approach ⋮ Smoothing with positivity-preserving Padé schemes for parabolic problems with nonsmooth data ⋮ FIRST PASSAGE TIMES FOR RISK-TRACKING PROXIES
Cites Work
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