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Pricing catastrophe swaps: A contingent claims approach · Study

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ArticlePricing catastrophe swaps: A contingent claims approach

Alexander Braun2011

Article2011

Pricing catastrophe swaps: A contingent claims approach

Alexander Braun

57 citations·0/0 files stored·Insurance Mathematics and Economics

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Insurance and Financial Risk Management Stochastic processes and financial applications Probability and Risk Models

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References

1973The Pricing of Options and Corporate Liabilities 1974An Index of Factorial Simplicity 1985A Theory of the Term Structure of Interest Rates 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1977An equilibrium characterization of the term structure 1976Option pricing when underlying stock returns are discontinuous 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior

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Year2011

Typearticle

Published2011-09-06

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations57

Files0 public / 0

ShelfInsurance and Financial Risk Management

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doi10.1016/j.insmatheco.2011.08.003

openalex_workW1994064197

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