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Options on infectious diseases

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  • Andrew Lesniewski
  • Nicholas Lesniewski

Abstract

We present a parsimonious stochastic model for valuation of options on the fraction of infected individuals during an epidemic. The underlying stochastic dynamical system is a stochastic differential version of the SIR model of mathematical epidemiology.

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  • Andrew Lesniewski & Nicholas Lesniewski, 2020. "Options on infectious diseases," Papers 2003.07992, arXiv.org, revised Mar 2020.
    • Handle: RePEc:arx:papers:2003.07992
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    File URL: http://arxiv.org/pdf/2003.07992
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