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Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
Dassios, Angelos; Jang, Ji-Wook - In: Finance and stochastics 7 (2003) 1, pp. 73-96
Persistent link: https://www.econbiz.de/10008215835
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Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
Dassios, Angelos; Jang, Ji-Wook - In: Finance and stochastics 7 (2003) 1, pp. 73-95
Persistent link: https://www.econbiz.de/10001724642
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The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing
Dassios, Angelos; Zhang, You You - In: Finance and stochastics 20 (2016) 3, pp. 773-804
Persistent link: https://www.econbiz.de/10011531449
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Perturbed Brownian motion and its application to Parisian option pricing
Dassios, Angelos; Wu, Shanle - In: Finance and stochastics 14 (2010) 3, pp. 473-494
Persistent link: https://www.econbiz.de/10009533860