Valuing catastrophe bonds involving correlation and CIR interest rate model (Q1655383)
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scientific article; zbMATH DE number 6915457
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuing catastrophe bonds involving correlation and CIR interest rate model |
scientific article; zbMATH DE number 6915457 |
Statements
Valuing catastrophe bonds involving correlation and CIR interest rate model (English)
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9 August 2018
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catastrophe bonds
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asset pricing
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stochastic models
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Monte Carlo simulations
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CIR model
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0.90900874
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0.8802088
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0.8782741
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0.87298256
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0.8680949
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