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030 Department Bulletin Papers = 本学紀要論文
*Hitotsubashi journal of economics
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Identifier to cite or link to this item: https://doi.org/10.15057/16521
Identifier to cite or link to this item: https://hdl.handle.net/10086/16521
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Title
An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process
Creator
Creator Name
Fujita, Takahiko
Fujita, Takahiko
藤田, 岳彦
藤田, 岳彦
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Ishimura, Naoyuki
Ishimura, Naoyuki
石村, 直之
石村, 直之
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Tanaka, Daichi
Tanaka, Daichi
Affiliation
Affiliation Name
Sompo Japan Insurance Inc.
Key Word
catastrophe options
Cox process
pricing
JEL
G13
C02
G22
Abstract
We investigate the valuation and hedging of catastrophe options, whose claim arrival process is modeled by the Cox process or a doubly stochastic Poisson process. Employing the non-arbitrage principle we obtain closed form formula for the pricing of the option. Various hedging parameters are also computed.
Publisher
Hitotsubashi University
Issued Date
2008-12
Language
English(eng)
Resource Type
departmental bulletin paper
Version Type
VoR
selfDOI
10.15057/16521
ISSN
0018-280x
NCID
AA00207547
Source Title
Hitotsubashi Journal of Economics
Volume Number
49
Issue Number
2
Page Start
67
Page End
74
Appears in Collections
Vol. 49, no. 2 (Dec. 2008)
URL
https://hdl.handle.net/10086/16521
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