Hedging processes for catastrophe options

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

zbMATH Keywords

Girsanov's theoremCAT optionshedging strategiesminimal riskItō's formula

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic integrals (60H05)

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Cites work

• scientific article; zbMATH DE number 3126031 (Why is no real title available?)
• scientific article; zbMATH DE number 52588 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1424149 (Why is no real title available?)
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Catastrophe options with stochastic interest rates and compound Poisson losses
• Exponential functionals of Brownian motion and related processes
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Pricing catastrophe insurance products based on actually reported claims
• Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump
• Stochastic time changes in catastrophe option pricing
• Valuation of structured risk management products

Cited in

(9)

• Pricing of catastrophe insurance options written on a loss index with reestimation
• Catastrophe risk management with counterparty risk using alternative instruments
• A quadratic hedging approach to comparison of catastrophe indices
• Pricing catastrophe options in discrete operational time
• Catastrophe equity put options with target variance
• The pricing for the catastrophe option and chooser option under stock price fluctuation
• Catastrophe options with stochastic interest rates and compound Poisson losses
• Exponential martingale method to pricing of property claim services option
• Hedging global environment risks: an option based portfolio insurance

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