Valuing catastrophe bonds by Monte Carlo simulations (Q4449554)
From MaRDI portal
scientific article; zbMATH DE number 2040338
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuing catastrophe bonds by Monte Carlo simulations |
scientific article; zbMATH DE number 2040338 |
Statements
Valuing catastrophe bonds by Monte Carlo simulations (English)
0 references
11 February 2004
0 references
digital options
0 references
jump-diffusion process
0 references
mean-reverting process
0 references
variance reduction
0 references
