Analytical valuation of catastrophe equity options with negative exponential jumps
type: Item
instance of: scholarly article
title: Analytical valuation of catastrophe equity options with negative exponential jumps
zbMATH Open document ID: 1156.91363
author: Lung-Fu Chang
author: Mao-Wei Hung
published in: Insurance Mathematics \& Economics
publication date: 2009-03-04T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 5523256
zbMATH Keywords: catastrophe derivatives
zbMATH Keywords: Lévy process
zbMATH Keywords: stochastic interest rate
zbMATH Keywords: reinsurance
zbMATH Keywords: option pricing
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2008.09.009
OpenAlex ID: W2018398968
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DOI: 10.1016/J.INSMATHECO.2008.09.009
description: scientific article; zbMATH DE number 5523256