An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process

We investigate the valuation and hedging of catastrophe options, whose claim arrival process is modeled by the Cox process or a doubly stochastic Poisson process. Employing the non-arbitrage principle we obtain closed form formula for the pricing of the option. Various hedging parameters are also computed.

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Year of publication:	2008
Authors:	Fujita, Takahiko ; Ishimura, Naoyuki ; Tanaka, Daichi
Published in:	Hitotsubashi Journal of Economics. - Graduate School of Economics. - Vol. 49.2008, 2, p. 67-74
Publisher:	Graduate School of Economics
Subject:	catastrophe options \| Cox process \| pricing

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	G13 - Contingent Pricing; Futures Pricing ; C02 - Mathematical Methods ; G22 - Insurance; Insurance Companies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009206498