Valuing catastrophe bonds by Monte Carlo simulations
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Publication:4449554
DOI10.1080/1350486032000079741zbMATH Open1060.91088OpenAlexW2043732557MaRDI QIDQ4449554FDOQ4449554
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
Cites Work
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- An equilibrium characterization of the term structure
- Option pricing when underlying stock returns are discontinuous
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Cited In (10)
- Valuing catastrophe bonds involving credit risks
- Sensitivity Analysis of Catastrophe Bond Price Under the Hull–White Interest Rate Model
- Pricing catastrophe risk bonds: a mixed approximation method
- FIRST PASSAGE TIMES FOR RISK-TRACKING PROXIES
- Valuing catastrophe bonds involving correlation and CIR interest rate model
- Title not available (Why is that?)
- The Optimal Write-Down Coefficients in a Percentage for a Catastrophe Bond
- Pricing catastrophe swaps: a contingent claims approach
- Smoothing with positivity-preserving Padé schemes for parabolic problems with nonsmooth data
- Pricing the Risk-Transfer financial Instruments via Monte Carlo Methods
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