Pricing catastrophe options with counterparty credit risk in a reduced form model
type: Item
instance of: scholarly article
title: Pricing catastrophe options with counterparty credit risk in a reduced form model
zbMATH Open document ID: 1399.91124
DOI: 10.1016/S0252-9602(17)30136-4
author: Yajuan Xu
author: Guojing Wang
published in: Acta Mathematica Scientia. Series B. (English Edition)
publication date: 2018-06-07T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 6881884
zbMATH Keywords: pricing
zbMATH Keywords: catastrophe option
zbMATH Keywords: counterparty risk
zbMATH Keywords: measure change
zbMATH Keywords: reduced form model
MaRDI profile type: Publication
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full work available at URL: s0252-9602(17)30136-4
OpenAlex ID: W2774443884
description: scientific article; zbMATH DE number 6881884