An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process
AbstractWe 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 also computed.
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Bibliographic InfoArticle provided by Hitotsubashi University in its journal Hitotsubashi Journal of Economics.
Volume (Year): 49 (2008)
Issue (Month): 2 (December)
catastrophe options; Cox process; pricing;
Find related papers by 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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