Analytical valuation of catastrophe equity options with negative exponential jumps (Q1003818)
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scientific article; zbMATH DE number 5523256
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytical valuation of catastrophe equity options with negative exponential jumps |
scientific article; zbMATH DE number 5523256 |
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Analytical valuation of catastrophe equity options with negative exponential jumps (English)
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4 March 2009
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catastrophe derivatives
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Lévy process
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stochastic interest rate
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reinsurance
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option pricing
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