The valuation of catastrophe bonds with exposure to currency exchange risk
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Fabio Pizzutilo & Elisabetta Venezia, 2018. "Are catastrophe bonds effective financial instruments in the transport and infrastructure industries? Evidence from international financial markets," Business and Economic Horizons (BEH), Prague Development Center, vol. 14(2), pages 256-267, April.
More about this item
KeywordsCAT bond valuation; Catastrophic and currency exchange risk; Jump-diffusion process; 3D Brownian motion; Importance sampling; Brownian bridge;
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