✦ LIBER ✦

Catastrophe options with stochastic interest rates and compound Poisson losses

✍ Scribed by Sebastian Jaimungal; Tao Wang

Book ID: 108153079
Publisher: Elsevier Science
Year: 2006
Tongue: English
Weight: 651 KB
Volume: 38
Category: Article
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2005.11.008

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Compounding and Discounting With Stochas

Compounding and Discounting With Stochastic Interest Rates

✍ Carmelo Giaccotto 📂 Article 📅 1989 🏛 John Wiley and Sons 🌐 English ⚖ 984 KB

Pricing American options on foreign curr

Pricing American options on foreign currency with stochastic volatility, jumps, and stochastic interest rates

✍ Jia-Hau Guo; Mao-Wei Hung 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 294 KB 👁 1 views

## Abstract By applying the Heath–Jarrow–Morton (HJM) framework, an analytical approximation for pricing American options on foreign currency under stochastic volatility and double jump is derived. This approximation is also applied to other existing models for the purpose of comparison. There is e

Computational aspects of pricing foreign

Computational aspects of pricing foreign exchange options with stochastic volatility and stochastic interest rates

✍ Rehez Ahlip; Rik King 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 210 KB

Testing Option Pricing Models with Stoch

Testing Option Pricing Models with Stochastic Volatility, Random Jumps and Stochastic Interest Rates

✍ George J. Jiang 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 335 KB

Pricing Stock Options in a Jump-Diffusio

Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods

✍ Louis O. Scott 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 108 KB