Stochastic time changes in catastrophe option pricing

Insurance: Mathematics and Economics

Volumn 21, Issue 3, 1997, Pages 185-193

  Geman, Helyette ^a,b,c   Yor, Marc ^c  

^a UNIVERSITÉ PARIS DAUPHINE   (France)

^b ESSEC BUSINESS SCHOOL   (France)

^c University of Paris VII LPSM partially supported by ERC Starting Grant 680275 MALIG   (France)

Author keywords

CAT options; Insurance markets completeness; Layers of reinsurance; Poisson diffusion model; Stochastic time change

Indexed keywords

EID: 0031574527     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(97)00017-6     Document Type: Article

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