Lai, Van Son; Parcollet, Mathieu; Lamond, Bernard F. - In: International Review of Financial Analysis 33 (2014) C, pp. 243-252
In this paper, we present a new model that takes an arbitrage approach to the valuation of catastrophic risk bonds (CAT bonds). The model considers the sponsor's exposure to currency exchange risk and the risk of catastrophic events. We use a jump-diffusion process for catastrophic events, a...
