An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process
We 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.
Volume (Year): 49 (2008)
Issue (Month): 2 (December)
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