Hedging processes for catastrophe options
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Publication:457624
DOI10.1016/J.JKSS.2012.02.007zbMATH Open1296.91266OpenAlexW2089116055MaRDI QIDQ457624FDOQ457624
Authors: Hsien-Jen Lin 
Publication date: 29 September 2014
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2012.02.007
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Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic integrals (60H05)
Cites Work
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Martingales and arbitrage in multiperiod securities markets
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- Exponential functionals of Brownian motion and related processes
- Martingales and stochastic integrals in the theory of continuous trading
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- Pricing catastrophe insurance products based on actually reported claims
- Catastrophe options with stochastic interest rates and compound Poisson losses
- Stochastic time changes in catastrophe option pricing
- Valuation of structured risk management products
- Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump
Cited In (9)
- Hedging global environment risks: an option based portfolio insurance
- Pricing catastrophe options in discrete operational time
- Exponential martingale method to pricing of property claim services option
- A quadratic hedging approach to comparison of catastrophe indices
- Catastrophe options with stochastic interest rates and compound Poisson losses
- The pricing for the catastrophe option and chooser option under stock price fluctuation
- Catastrophe risk management with counterparty risk using alternative instruments
- Catastrophe equity put options with target variance
- Pricing of catastrophe insurance options written on a loss index with reestimation
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