Stochastic time changes in catastrophe option pricing
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Cites work
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A martingale approach to premium calculation principles in an arbitrage free market
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Optimal portfolio for a small investor in a market model with discontinuous prices
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
Cited in
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- A quadratic hedging approach to comparison of catastrophe indices
- Sensitivity analysis of catastrophe bond price under the Hull-White interest rate model
- Pricing catastrophe options in discrete operational time
- Indifference prices of structured catastrophe (CAT) bonds
- Utility indifference pricing of insurance catastrophe derivatives
- PARTIAL EQUILIBRIUM AND MARKET COMPLETION
- Valuing clustering in catastrophe derivatives
- A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles
- Modeling financial reinsurance in the casualty insurance business via stochastic programming
- scientific article; zbMATH DE number 5284332 (Why is no real title available?)
- Changes of numéraire, changes of probability measure and option pricing
- RANDOM TIME FORWARD-STARTING OPTIONS
- Market price of insurance risk implied by catastrophe derivatives
- Exponential martingale method to pricing of property claim services option
- Utility indifference pricing of derivatives written on industrial loss indices
- Risk adjustments of option prices under time-changed dynamics
- Pricing of American catastrophe disaster insurance futures options with martingale method
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- Continuous-time model based on two Wiener processes for calculating insurance linked securities (ILS) underlying a catastrophic loss index
- Catastrophe insurance derivatives pricing using a Cox process with jump diffusion CIR intensity
- scientific article; zbMATH DE number 7662452 (Why is no real title available?)
- Hedging processes for catastrophe options
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