Valuing catastrophe bonds involving correlation and CIR interest rate model
DOI10.1007/s40314-016-0348-2zbMath1409.91247OpenAlexW2361733783WikidataQ59472414 ScholiaQ59472414MaRDI QIDQ1655383
Publication date: 9 August 2018
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40314-016-0348-2
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)
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