Simulating and pricing CAT bonds using the spectral method based on Chebyshev basis
Y. Esmaeelzade Aghdam, A. Neisy, A. Adl
| Year of publication: |
2024
|
|---|---|
| Authors: | Aghdam, Y. Esmaeelzade ; Neisy, A. ; Adl, A. |
| Subject: | Brownian motion | Catastrophic bonds | Collocation method | Jump | Pricing | Stochastischer Prozess | Stochastic process | Anleihe | Bond | Simulation | Optionspreistheorie | Option pricing theory | Katastrophe | Disaster | Risikomodell | Risk model | CAPM | Derivat | Derivative |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-022-10347-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014472268