Valuing catastrophe bonds by Monte Carlo simulations
Year of publication: |
2003
|
---|---|
Authors: | Vaugirard, Victor |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 10.2003, 1, p. 75-90
|
Publisher: |
Taylor & Francis Journals |
Subject: | Catastrophe Bonds | Digital Options | Jump-diffusion Process | Mean-reverting Process | Variance Reduction |
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