Pricing Hurricane Bonds Using a Physically Based Option Pricing Approach
| Autor: | Min-Teh Yu, Carolyn W. Chang, Jack S. K. Chang |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Statistics and Probability
Economics and Econometrics Mathematical optimization 050208 finance 010504 meteorology & atmospheric sciences Computer science Bond 05 social sciences 01 natural sciences Dual (category theory) Valuation of options 0502 economics and business Statistics Probability and Uncertainty 0105 earth and related environmental sciences Landfall |
| Zdroj: | North American Actuarial Journal. 26:27-42 |
| ISSN: | 2325-0453 1092-0277 |
| DOI: | 10.1080/10920277.2020.1824798 |
| Popis: | Hurricane bonds are unique in that they are structured with a dual exercise condition: a physically based condition that the underlying hurricane makes landfall at a prespecified location, and a st... |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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