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  • 标题:An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process
  • 本地全文:下载
  • 作者:Fujita, Takahiko ; Ishimura, Naoyuki ; Tanaka, Daichi
  • 期刊名称:Hitotsubashi Journal of Economics
  • 印刷版ISSN:0018-280X
  • 出版年度:2008
  • 卷号:49
  • 期号:2
  • 出版社:Maruzen Company Ltd
  • 摘要: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.
  • 关键词:catastrophe options, Cox process, pricing
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