Pricing catastrophe options in discrete operational time
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- Braun, Alexander, 2011. "Pricing catastrophe swaps: A contingent claims approach," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 520-536.
- Xingchun Wang, 2016. "The Pricing of Catastrophe Equity Put Options with Default Risk," International Review of Finance, International Review of Finance Ltd., vol. 16(2), pages 181-201, June.
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More about this item
KeywordsCatastrophe insurance derivatives Randomized operational time Trinomial tree Stochastic time change Binomial Tree with random time steps Option pricing;
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