A No-Arbitrage Martingale Analysis for Jump-Diffusion Valuation
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- David Cummins & Christopher Lewis & Richard Phillips, 1999.
"Pricing Excess-of-Loss Reinsurance Contracts against Cat as trophic Loss,"
NBER Chapters,in: The Financing of Catastrophe Risk, pages 93-148
National Bureau of Economic Research, Inc.
- J. David Cummins & Christopher M. Lewis & Richard D. Phillips, 1998. "Pricing Excess-of-loss Reinsurance Contracts Against Catastrophic Loss," Center for Financial Institutions Working Papers 98-09, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Chang, Carolyn W. & S.K. Chang, Jack & Lim, Kian-Guan, 1998. "Information-time option pricing: theory and empirical evidence," Journal of Financial Economics, Elsevier, vol. 48(2), pages 211-242, May.
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