Pricing catastrophe bonds by an arbitrage approach

Quarterly Review of Economics and Finance

Volumn 43, Issue 1, 2003, Pages 119-132

  Vaugirard, Victor E ^a  

^a UNIVERSITÉ PARIS 1 PANTHÉON SORBONNE   (France)

Author keywords

Catastrophe bonds; Incomplete markets; Jump diffusion process; Monte Carlo simulations; Path dependent digital options

Indexed keywords

EID: 0037336057     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1062-9769(02)00158-8     Document Type: Article

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