Ein Modell zur Bewertung von PCS-Optionen

DOI10.1007/BF02808327zbMath1320.91141MaRDI QIDQ5422730

Oliver Flasse, Thomas Hartung, Peter Liebwein

Publication date: 30 October 2007

Published in: Blätter der DGVFM (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Stochastic time changes in catastrophe option pricing
• Modelling of extremal events in insurance and finance
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach

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