Valuation of double trigger catastrophe options with counterparty risk
Year of publication: |
2013
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Authors: | Jiang, I-ming ; Yang, Sheng-Yung ; Liu, Yu-hong ; Wang, Alan T. |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 25.2013, p. 226-242
|
Subject: | Catastrophe | Stochastic interest rate | Counterparty risk | Compound Poisson | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Finanzmathematik | Mathematical finance | Optionspreistheorie | Option pricing theory | Katastrophe | Disaster | Derivat | Derivative |
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