An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process
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DOI: 10.15057/16521
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References listed on IDEAS
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Cited by:
- Gunther Leobacher & Philip Ngare, 2014. "Utility indifference pricing of derivatives written on industrial loss indexes," Papers 1404.0879, arXiv.org.
- Andreas Eichler & Gunther Leobacher & Michaela Szolgyenyi, 2016. "Utility Indifference Pricing of Insurance Catastrophe Derivatives," Papers 1607.01110, arXiv.org, revised May 2017.
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More about this item
Keywords
catastrophe options; Cox process; pricing;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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