Pricing catastrophe options with stochastic claim arrival intensity in claim time
Year of publication: |
2009
|
---|---|
Authors: | Chang, Carolyn C. W. ; Chang, Jack S. K. ; Lu, WeLi |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 34.2010, 1, p. 24-32
|
Subject: | Optionspreistheorie | Option pricing theory | Versicherung | Insurance | Risikomodell | Risk model | Katastrophe | Disaster | Theorie | Theory |
Extent: | graph. Darst. |
---|---|
Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Corrigendum enth. in Bd. 34.2010, 3 , S. 695 |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Pricing catastrophe insurance futures call spreads : a randamized operational time approach
Chang, Carolyn C. W., (1996)
-
D'Arcy, Stephen P., (1993)
-
Valuing catastrophe derivatives under limited diversification : a stochastic dominance approach
Perrakis, Stylianos, (2013)
- More ...
-
Information-time option pricing : theory and empirical evidence
Chang, Carolyn C. W., (1998)
-
Pricing catastrophe insurance futures call spreads : a randamized operational time approach
Chang, Carolyn C. W., (1996)
-
Option pricing with stochastic volatility : information-time vs. calendar-time
Chang, Carolyn C. W., (1996)
- More ...