Fujita, Takahiko; Ishimura, Naoyuki; Tanaka, Daichi - In: Hitotsubashi Journal of Economics 49 (2008) 2, pp. 67-74
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...